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SIAM Journal on Control and Optimization, Vol.35, No.4, 1093-1115, 1997
Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control
Stochastic control problems on a finite horizon with exponential cost criteria are considered. By taking a kind of singular limit a Hamilton-Jacobi-Isaacs equation is obtained. Its solution is characterized as the lower value function of a deterministic differential game related to robust control of nonlinear systems.