Nonanticipative risk sensitive control: the martingale method

J. P. Lepeltier

Statistics & Probability Letters, 2003, vol. 64, issue 2, 191-199

Abstract: We look for the existence of an optimal control in the nonanticipative risk sensitive control problem. For this we use the martingale approach developed notably by Davis and Varaiya (SIAM J. Control 11 (1973) 226; Stochastic Monographs, Vol. 10, Gordon and Breach, London, 1996, pp. 1-21) and Davis (SIAM J. Control 11 (1973) 587).

Date: 2003
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