Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems

DOI10.1137/S0363012996307801zbMath0922.93050OpenAlexW2137989390MaRDI QIDQ4237211

Francesca Albertini, Paolo Dai Pra

Publication date: 31 March 1999

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

Full work available at URL: https://doi.org/10.1137/s0363012996307801

zbMATH Keywords

discrete-timepartially observed control problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Large deviations (60F10)

Related Items (2)

Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost ⋮ Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion

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