Bensoussan, Alain, and Frehse, Jens. "On Bellman systems without zero order term in the context of risk sensitive differential games." Mathematica Bohemica 126.2 (2001): 275-280. <http://eudml.org/doc/248836>.
@article{Bensoussan2001,
abstract = {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.},
author = {Bensoussan, Alain, Frehse, Jens},
journal = {Mathematica Bohemica},
keywords = {diagonal elliptic systems; quadratic growth; stochastic differential games; Bellman equation; risk sensitive control; diagonal elliptic systems; quadratic growth; stochastic differential games; Bellman equation; risk sensitive control},
language = {eng},
number = {2},
pages = {275-280},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {On Bellman systems without zero order term in the context of risk sensitive differential games},
url = {http://eudml.org/doc/248836},
volume = {126},
year = {2001},
}
TY - JOUR
AU - Bensoussan, Alain
AU - Frehse, Jens
TI - On Bellman systems without zero order term in the context of risk sensitive differential games
JO - Mathematica Bohemica
PY - 2001
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 126
IS - 2
SP - 275
EP - 280
AB - 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.
LA - eng
KW - diagonal elliptic systems; quadratic growth; stochastic differential games; Bellman equation; risk sensitive control; diagonal elliptic systems; quadratic growth; stochastic differential games; Bellman equation; risk sensitive control
UR - http://eudml.org/doc/248836
ER -
