Finite Time--Horizon Risk-Sensitive Control and the Robust Limit under a Quadratic Growth Assumption

DOI10.1137/S0363012998345159zbMath1039.93068OpenAlexW2032831203MaRDI QIDQ4537805

William M. McEneaney, Francesca Da Lio

Publication date: 23 June 2002

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

Full work available at URL: https://doi.org/10.1137/s0363012998345159

zbMATH Keywords

dynamic programmingrobust controlrisk-sensitive controlviscosity solutionsnonlinear HJB equationsnonlinear Isaacs equations

Mathematics Subject Classification ID

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