Work

Risk sensitive stochastic control and differential games

Year: 2006

Type: article

Abstract: We give a concise introduction to risk sensitive control of Markov diffusion processes and related two-controller, zero-sum differential games.The method of dynamic programming for the risk sensitive control problem leads to a nonlinear partial differential equation of Hamilton-Jacobi-Bellman type.In the totally risk sensitive limit, this becomes the Isaacs equation for the differential game.There is another interpretation of the differential game using the Maslov idempotent probability calculus.We call this a max-plus stochastic control problem.These risk sensitive control/differential game methods are applied to problems of importance sampling for Markov diffusions.

Source: Communications in Information and Systems

DOI: 10.4310/cis.2006.v6.n3.a1

Author: Wendell H. Fleming

Institution: Brown University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2048469131

FWCI:

Cites: 22

Cited by: 37

Related to: 10