We show that risk-sensitive control problems and deterministic dynamic games can be connected, under rather mild assumptions, by a small noise limit. In order to control this limit, new techniques are developed to study propagation of large deviations through conditional probabilities.
Small parameter limit for discrete-time, partially observed risk-sensitive control problems
F. ALBERTINI;DAI PRA P.
1999-01-01
Abstract
We show that risk-sensitive control problems and deterministic dynamic games can be connected, under rather mild assumptions, by a small noise limit. In order to control this limit, new techniques are developed to study propagation of large deviations through conditional probabilities.
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