Some results on risk-sensitive control with full observation
type: Item
instance of: scholarly article
title: Some results on risk-sensitive control with full observation
zbMATH Open document ID: 0896.93035
published in: Applied Mathematics and Optimization
publication date: 1998-10-06T00:00:00Z
review text: This paper is concerned with the Bellman equation of risk-sensitive control with full observation. Using fine analytic techniques, the authors prove the existence of a unique solution with regularity properties, for general quasi-parabolic equations. For the Bellman equation, they show the following facts under mild conditions: (1) The related risk-sensitive control has no breaking down and its value function coincides with the solution to the Bellman equation. (2) An optimal feedback control is constructed. (3) The small noise limit corresponds to a differential game.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 35K55
Mathematics Subject Classification ID: 91A23
zbMATH DE Number: 1129434
zbMATH Keywords: Bellman equation
zbMATH Keywords: risk-sensitive control
zbMATH Keywords: full observation
zbMATH Keywords: existence of a unique solution
zbMATH Keywords: small noise limit
zbMATH Keywords: differential game
author: Alain Bensoussan
author: Jens Frehse
author: Hideo Nagai
reviewed by: Makiko Nisio
MaRDI profile type: Publication
full work available at URL: s002459900067
OpenAlex ID: W3186532944
Wikidata QID: Q127579755
DOI: 10.1007/S002459900067
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description: scientific article; zbMATH DE number 1129434