Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control

DOI10.1137/S0363012995279420zbMath0894.93040OpenAlexW2022640657MaRDI QIDQ4377387

Hideo Nagai, Alain Bensoussan

Publication date: 9 February 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012995279420

zbMATH Keywords

nonlinear systemsdifferential game\(H_\infty\)-controlsmall noise limitrisk sensitive controlHamilton-Jacobi-Isaacs equationviscosity methods

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20)

Related Items (7)

Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ Zero-Sum Risk-Sensitive Stochastic Differential Games ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ Zero-sum risk-sensitive stochastic games on a countable state space ⋮ Comparison principle for unbounded viscosity solutions of degenerate elliptic PDEs with gradient superlinear terms ⋮ Nonzero-sum risk-sensitive stochastic differential games with discounted costs ⋮ BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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