We show that risk-sensitive control problems and deterministic dynamic games can be connected, under rather mild assumptions, by a small noise limit. In order to control this limit, new techniques are developed to study propagation of large deviations through conditional probabilities.
Small parameter limit for discrete-time, partially observed risk-sensitive control problems
ALBERTINI, FRANCESCA;DAI PRA, PAOLO
1999
Abstract
We show that risk-sensitive control problems and deterministic dynamic games can be connected, under rather mild assumptions, by a small noise limit. In order to control this limit, new techniques are developed to study propagation of large deviations through conditional probabilities.File in questo prodotto:
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