About DML-CZ | FAQ | Conditions of Use | Math Archives | Contact Us
  Previous |  Up |  Next

Article

Bensoussan, A. ; Frehse, J.
On Bellman systems without zero order term in the context of risk sensitive differential games. (English). Mathematica Bohemica, vol. 126 (2001), issue 2, pp. 275-280
MSC: 49L20, 49N70, 91A15, 91A23, 91A80, 93A20, 93C20, 93E20 | MR 1844268 | Zbl 0985.91007 | DOI: 10.21136/MB.2001.134023
Keywords:
diagonal elliptic systems; quadratic growth; stochastic differential games; Bellman equation; risk sensitive control
Summary:
Bellman systems corresponding to stochastic differential games arising from a cost functional which models risk aspects are considered. Here it leads to diagonal elliptic systems without zero order term so that no simple $L^{\infty }$-estimate is available.
References:
[1] A. Bensoussan, J. Frehse: Nonlinear elliptic systems in stochastic game theory. J. Reine Angew. Math. Mathematik 350 (1984), 23–67. MR 0743532
[2] H. Nagaï: Bellman equation of risk sensitive control. SIAM J. Control Optim. 34 (1996), 74–101. DOI 10.1137/S0363012993255302 | MR 1372906
Partner of
EuDML logo