Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost

DOI10.1007/BF02683329zbMath0869.93053OpenAlexW2115204485MaRDI QIDQ5961572

Paolo Dai Pra, Cristina Rudari

Publication date: 8 September 1997

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02683329

zbMATH Keywords

dynamic gameslarge deviation methodsrisk sensitive stochastic control

Mathematics Subject Classification ID

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

Cites Work

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• A risk-sensitive maximum principle: the case of imperfect state observation
• Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems
• Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
• Risk-Sensitive Control on an Infinite Time Horizon
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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