General finite-dimensional risk-sensitive problems and small noiselimits |
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| Authors: | Bensoussan A Elliott RJ |
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| Affiliation: | Inst. Nat. de Recherche en Inf. et Autom., Le Chesnay; |
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| Abstract: | For a risk-sensitive, partially observed stochastic control problem, the modified Zakai equation includes an extra term related to the exponential running cost. The finite-dimensional solutions of this modified Zakai equation are obtained. These are analogs of the Kalman and Benes filters. The small noise limits of the finite-dimensional risk-sensitive problems are then obtained. These lead to differential games with deterministic disturbances |
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