✦ LIBER ✦

Nonanticipative risk sensitive control: the martingale method

✍ Scribed by J.P. Lepeltier

Book ID: 104302168
Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 215 KB
Volume: 64
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(03)00151-2

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✦ Synopsis

We look for the existence of an optimal control in the nonanticipative risk sensitive control problem. For this we use the martingale approach developed notably by Davis and Varaiya (

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