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)

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Cites work

• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 440541 (Why is no real title available?)
• A risk-sensitive maximum principle
• A risk-sensitive maximum principle: the case of imperfect state observation
• Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
• Extension of linear-quadratic control, optimization and matrix theory
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
• Risk-Sensitive Control on an Infinite Time Horizon
• Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
• Risk-sensitive linear/quadratic/gaussian control
• Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems

Cited in

(2)

• Limiting average cost control problems in a class of discrete-time stochastic systems
• scientific article; zbMATH DE number 3939236 (Why is no real title available?)

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