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 F.;DAI PRA P.;
2001-01-01
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.
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