We show that discrete-time, partially observed, risk-sensitive control problems over an infinite time horizon converge, in the small noise limit, to deterministic dynamic games, in the sense of uniform convergence of the value function on compact subsets of its domain. We make use of new results concerning large deviations and existence of value functions.
Small parameter limit for ergodic, discrete-time, partially observed, risk-sensitive control problems
ALBERTINI, FRANCESCA;DAI PRA, PAOLO;
2001
Abstract
We show that discrete-time, partially observed, risk-sensitive control problems over an infinite time horizon converge, in the small noise limit, to deterministic dynamic games, in the sense of uniform convergence of the value function on compact subsets of its domain. We make use of new results concerning large deviations and existence of value functions.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
23.pdf
accesso aperto
Tipologia:
Preprint (AM - Author's Manuscript - submitted)
Licenza:
Accesso libero
Dimensione
263.7 kB
Formato
Adobe PDF
|
263.7 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
