Solutions of max-plus linear equations and large deviations

DOI10.1109/CDC.2005.1583420MaRDI QIDQ6476018zbMATH OpenFDO

Authors Marianne Akian, Stéphane Gaubert, Vassili Kolokoltsov

Publication date 13 September 2005

Large deviations (60F10) Galois correspondences, closure operators (in relation to ordered sets) (06A15) Optimal stochastic control (93E20)

Abstract: We generalise the Gartner-Ellis theorem of large deviations theory. Our results allow us to derive large deviation type results in stochastic optimal control from the convergence of generalised logarithmic moment generating functions. They rely on the characterisation of the uniqueness of the solutions of max-plus linear equations. We give an illustration for a simple investment model, in which logarithmic moment generating functions represent risk-sensitive values.

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