Some Results on Risk-Sensitive Control with Full Observation
Some Results on Risk-Sensitive Control with Full Observation
复制标题
全面观察风险敏感控制的一些结果
DOI：
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发表时间：
1995
期刊：
影响因子：
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通讯作者：
H. Nagai
中科院分区：
文献类型：
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作者：
A. Bensoussan;J. Frehse;H. Nagai
抽象。研究了具有完全观测值的风险敏感控制问题的Bellman方程。它似乎是整个空间中的一个准线性抛物方程的例子，并且允许关于空间变量x的相当一般的增长假设。然后解决随机控制问题，利用分析结果。然后处理小噪声的大偏差的情况下，极限对应于一个微分对策。
Abstract. The Bellman equation of the risk-sensitive control problem with full observation is considered. It appears as an example of a quasi-linear parabolic equation in the whole space, and fairly general growth assumptions with respect to the space variable x are permitted. The stochastic control problem is then solved, making use of the analytic results. The case of large deviation with small noises is then treated, and the limit corresponds to a differential game.