Small Parameter Limit for Ergodic, Discrete-Time, Partially Observed, Risk-Sensitive Control Problems

被引：0
|
作者：
Francesca Albertini
Paolo Dai Pra
Chiara Prior
机构：
[1] Dipartimento di Matematica,
[2] Universitá di Padova,undefined
[3] Via Belzoni 7,undefined
[4] 35100 Padova,undefined
[5] Italy.,undefined
[6] Dipartimento di Matematica,undefined
[7] Politecnico di Milano,undefined
[8] P.zza L.Da Vinci 32,undefined
[9] 20133 Milano,undefined
[10] Italy.,undefined
来源：
Mathematics of Control, Signals and Systems | 2001年 / 14卷
关键词：
Key words. Risk-sensitive control, Dynamic games, Large deviations.;
D O I：
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摘要：
We show that discrete-time, partially observed, risk-sensitive control problems over an infinite time horizon converge, in the small noise limit, to deterministic dynamic games, in the sense of uniform convergence of the value function on compact subsets of its domain. We make use of new results concerning large deviations and existence of value functions.
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页码：1 / 28
页数：27
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