DocumentCode
3028593
Title
Some results on risk-sensitive control with full observation
Author
Bensoussan, A. ; Frehse, J. ; Nagai, H.
Author_Institution
Univ. Paris Dauphine, France
Volume
2
fYear
1995
fDate
13-15 Dec 1995
Firstpage
1657
Abstract
We consider in this presentation the risk-sensitive control problem under fairly general assumptions, in particular as far growth conditions are concerned. This is a much more delicate issue than in the classical stochastic control problem. We then consider the case of small variance of the noises and study the limit, which is related to robust control. The limit problem corresponds to a differential game. In this paper, the complete observation case is considered
Keywords
differential games; noise; observers; robust control; stochastic systems; differential game; full observation; risk-sensitive control; robust control; stochastic control; Control theory; Dynamic programming; Equations; Green function; H infinity control; Jacobian matrices; Optimal control; Robust control; Stochastic processes; Stochastic resonance;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location
New Orleans, LA
ISSN
0191-2216
Print_ISBN
0-7803-2685-7
Type
conf
DOI
10.1109/CDC.1995.480377
Filename
480377
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