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.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
Author information
Authors and Affiliations
Additional information
Date received: May 21, 1999. Date revised: April 7, 2000.
Rights and permissions
About this article
Cite this article
Albertini, F., Dai Pra, P. & Prior, C. Small Parameter Limit for Ergodic, Discrete-Time, Partially Observed, Risk-Sensitive Control Problems. Math. Control Signals Systems 14, 1–28 (2001). https://doi.org/10.1007/PL00009875
Issue Date:
DOI: https://doi.org/10.1007/PL00009875