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
fDate :
2/1/1996 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
