Some results and problems in risk sensitive stochastic control (Q1375890)

This article presents a concise survey of recent results and open problems in optimal stochastic control with risk sensitive cost criteria. Controlled Markov processes with complete or partial state information are considered. By taking deterministic limits, differential games arising in nonlinear robust or \(H_\infty\) control theory are obtained. The contents are the following: Introduction, Finite time horizon, Infinite time horizon, Small noise limits, Partial state observations.