We consider duality relations between risk-sensitive stochastic control problems and dynamic games. They are derived from two basic duality results, the first involving free energy and relative entropy and resulting from a Legendre-type transformation, the second involving power functions. Our approach allows us to treat, in essentially the same way, continuous- and discrete-time problems, with complete and partial state observation, and leads to a very natural formal justification of the structure of the cost functional of the dual. It also allows us to obtain the solution of a stochastic game problem by solving a risk-sensitive control problem.
|Titolo:||Connections between stochastic control and dynamic games|
|Data di pubblicazione:||1996|
|Appare nelle tipologie:||01.01 Articolo in Rivista|