On Bellman systems without zero order term in the context of risk sensitive differential games
Mathematica Bohemica (2001)
- Volume: 126, Issue: 2, page 275-280
- ISSN: 0862-7959
Access Full Article
top
Abstract
topHow to cite
topBensoussan, 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 -
References
top- Nonlinear elliptic systems in stochastic game theory, J. Reine Angew. Math. Mathematik 350 (1984), 23–67. (1984) MR0743532
- 10.1137/S0363012993255302, SIAM J. Control Optim. 34 (1996), 74–101. (1996) MR1372906DOI10.1137/S0363012993255302
NotesEmbed ?
topYou must be logged in to post comments.
To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.