| Title:
|
On Bellman systems without zero order term in the context of risk sensitive differential games (English) |
| Author:
|
Bensoussan, A. |
| Author:
|
Frehse, J. |
| Language:
|
English |
| Journal:
|
Mathematica Bohemica |
| ISSN:
|
0862-7959 (print) |
| ISSN:
|
2464-7136 (online) |
| Volume:
|
126 |
| Issue:
|
2 |
| Year:
|
2001 |
| Pages:
|
275-280 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| 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. (English) |
| Keyword:
|
diagonal elliptic systems |
| Keyword:
|
quadratic growth |
| Keyword:
|
stochastic differential games |
| Keyword:
|
Bellman equation |
| Keyword:
|
risk sensitive control |
| MSC:
|
49L20 |
| MSC:
|
49N70 |
| MSC:
|
91A15 |
| MSC:
|
91A23 |
| MSC:
|
91A80 |
| MSC:
|
93A20 |
| MSC:
|
93C20 |
| MSC:
|
93E20 |
| idZBL:
|
Zbl 0985.91007 |
| idMR:
|
MR1844268 |
| DOI:
|
10.21136/MB.2001.134023 |
| . |
| Date available:
|
2009-09-24T21:50:25Z |
| Last updated:
|
2020-07-29 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/134023 |
| . |
| Reference:
|
[1] A. Bensoussan, J. Frehse: Nonlinear elliptic systems in stochastic game theory.J. Reine Angew. Math. Mathematik 350 (1984), 23–67. MR 0743532 |
| Reference:
|
[2] H. Nagaï: Bellman equation of risk sensitive control.SIAM J. Control Optim. 34 (1996), 74–101. MR 1372906, 10.1137/S0363012993255302 |
| . |
