Connections between stochastic control and dynamic games

被引:113
作者
Pra, PD
Meneghini, L
Runggaldier, WJ
机构
[1] Dipto. di Matemat. Pura e Applicata, Università di Padova, 35131 Padova
关键词
risk-sensitive stochastic control; stochastic dynamic games; free energy; relative entropy; Legendre-type transformations;
D O I
10.1007/BF01211853
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
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.
引用
收藏
页码:303 / 326
页数:24
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