On sensitive control and differential games in infinite dimensional spaces

Makiko Nisio
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Makiko Nisio: Osaka Electro-Communication University, Faculty of Engineering

A chapter in Itô’s Stochastic Calculus and Probability Theory, 1996, pp 281-292 from Springer

Abstract: Abstract We are considering a risk sensitive control for a system governed by a stochastic partial differential equation. The aim of this paper is to investigate the relationship between small noise asymptotics of the value function and a differential game.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-68532-6_18

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DOI: 10.1007/978-4-431-68532-6_18

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