DocumentCode
1241119
Title
General finite-dimensional risk-sensitive problems and small noise limits
Author
Bensoussan, Alain ; Elliott, Robert J.
Author_Institution
Inst. Nat. de Recherche en Inf. et Autom., Le Chesnay, France
Volume
41
Issue
2
fYear
1996
fDate
2/1/1996 12:00:00 AM
Firstpage
210
Lastpage
215
Abstract
For a risk-sensitive, partially observed stochastic control problem, the modified Zakai equation includes an extra term related to the exponential running cost. The finite-dimensional solutions of this modified Zakai equation are obtained. These are analogs of the Kalman and Benes filters. The small noise limits of the finite-dimensional risk-sensitive problems are then obtained. These lead to differential games with deterministic disturbances
Keywords
differential games; multidimensional systems; noise; stochastic systems; Benes filter; Kalman filter; deterministic disturbances; differential games; exponential running cost; general finite-dimensional risk-sensitive problems; modified Zakai equation; partially observed stochastic control problem; small noise limits; Costs; Covariance matrix; Filtration; Jacobian matrices; Kalman filters; Noise cancellation; Nonlinear equations; Random variables; Stochastic resonance; Tellurium;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.481520
Filename
481520
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