Risk Sensitive Stochastic Control and Differential Games

@inproceedings{Fleming2007RiskSS,
  title={Risk Sensitive Stochastic Control and Differential Games},
  author={Wendell H. Fleming},
  year={2007}
}
We give a concise introduction to risk sensitive control of Markov diffusion processes and related two-controller, zero-sum differential games. The method of dynamic programming for the risk sensitive control problem leads to a nonlinear partial differential equation of HamiltonJacobi-Bellman type. In the totally risk sensitive limit, this becomes the Isaacs equation for the differential game. There is another interpretation of the differential game using the Maslov idempotent probability… CONTINUE READING

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