Published January 1998
| Version v1
Journal article
Some Results on Risk-Sensitive Control with Full Observation
Creators
- 1. CNES, 2 place Maurice Quentin, 75001 Paris (France)
- 2. Institut fuer Angewandte Mathematik, Universitaet Bonn, Bonn (Germany)
- 3. Department of Mathematical Science, Faculty of Engineering Science, Osaka University, Toyonaka, Osaka (Japan)
Description
The Bellman equation of the risk-sensitive control problem with full observation is considered. It appears as an example of a quasi-linear parabolic equation in the whole space, and fairly general growth assumptions with respect to the space variable x are permitted. The stochastic control problem is then solved, making use of the analytic results. The case of large deviation with small noises is then treated, and the limit corresponds to a differential game
Additional details
Identifiers
Publishing Information
- Journal Title
- Applied Mathematics and Optimization
- Journal Volume
- 37
- Journal Issue
- 1
- Journal Page Range
- p. 1-41
- ISSN
- 0095-4616
INIS
- Country of Publication
- United States
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 39079267
- Subject category
- S71: CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS;
- Descriptors DEI
- CONTROL THEORY; EQUATIONS; HAZARDS; MATHEMATICAL SPACE; NOISE; STOCHASTIC PROCESSES
- Descriptors DEC
- SPACE
Optional Information
- Copyright
- Copyright (c) Inc. 1998 Springer-Verlag New York