Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost

DOI10.1007/BF02683329MaRDI QIDQ5961572zbMATH OpenOpenAlexFDO

Authors Paolo Dai Pra, Cristina Rudari

Publication date 8 September 1997

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02683329

zbMATH Keywords

dynamic gameslarge deviation methodsrisk sensitive stochastic control

Mathematics Subject Classification ID

Large deviations (60F10) Optimal stochastic control (93E20)

Review text

The authors investigate some relation between risk sensitive stochastic control problems and dynamic games for discrete time, using large deviation methods. Considering controlled Markov kernels, they determine a large class of controlled stochastic processes, for which the high risk small noise limit turns out to be a dynamic game, and show how the dynamics and the cost function of the game are related to large deviation properties of controlled Markov kernels.

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Cites work

• A risk-sensitive maximum principle
• A risk-sensitive maximum principle: the case of imperfect state observation
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• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 440541 (Why is no real title available?)
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• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
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• Risk-Sensitive Control on an Infinite Time Horizon
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• Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems

Cited in

(3)

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