Singular Perturbations in Risk-Sensitive Stochastic Control

DOI10.1137/090750081zbMath1203.93207OpenAlexW2031127977MaRDI QIDQ3060361

K. Suresh Kumar, Vivek S. Borkar

Publication date: 3 December 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090750081

zbMATH Keywords

singular perturbationsrisk-sensitive controlaveragingtwo time scalesHamilton-Jacobi-Isaacs equation

Mathematics Subject Classification ID

Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Averaging of perturbations for nonlinear problems in mechanics (70K65)

Related Items (4)

Relative Value Iteration for Stochastic Differential Games ⋮ Risk sensitive control of diffusions with small running cost ⋮ Local Poisson equations associated with the Varadhan functional ⋮ Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions

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