Communications in Information & Systems

Risk sensitive stochastic control and differential games

Wendell H. Fleming

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We give a concise introduction to risk sensitive control of Markov diffusion processes and related two-controller, zero-sum differential games. The method of dynamic programming for the risk sensitive control problem leads to a nonlinear partial differential equation of Hamilton-Jacobi-Bellman type. In the totally risk sensitive limit, this becomes the Isaacs equation for the differential game. There is another interpretation of the differential game using the Maslov idempotent probability calculus. We call this a max-plus stochastic control problem. These risk sensitive control/differential game methods are applied to problems of importance sampling for Markov diffusions.

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Commun. Inf. Syst., Volume 6, Number 3 (2006), 161-177.

First available in Project Euclid: 6 July 2007

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Fleming, Wendell H. Risk sensitive stochastic control and differential games. Commun. Inf. Syst. 6 (2006), no. 3, 161--177.

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