Title :
Bellman equations of risk sensitive control
Author_Institution :
Dept. of Math. Sci., Osaka Univ., Japan
Abstract :
Risk sensitive control problems are considered. Existence of a nonnegative solution to the Bellman equation of risk sensitive control is shown. The result is applied to prove that no breaking down occurs. Asymptotic behaviour of the nonnegative solution is studied in relation to ergodic control problems and the relationship between the asymptotics and the large deviation principle is noted
Keywords :
differential equations; eigenvalues and eigenfunctions; identification; optimal control; statistical analysis; stochastic systems; Bellman equations; asymptotics; eigenvalues; ergodic control; identification; large deviation principle; nonnegative solution; probability space; risk sensitive control; stochastic differential equation; Differential equations; Eigenvalues and eigenfunctions; Polynomials; Process control; Stochastic processes; Tiles;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.480229
