Showing papers by "Alain Bensoussan published in 1996"
01 Jan 1996
45 citations
TL;DR: In this paper, the modified Zakai equation was used for a risk-sensitive, partially observed stochastic control problem, which includes an extra term related to the exponential running cost.
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.
38 citations
01 Jan 1996
TL;DR: Finite-dimensional solutions of this modified Zakai equation are obtained that are analogs of the Kalman and Benes filters and lead to small noise limits of the finite-dimensional risk-sensitive problems.
Abstract: For a risk-sensitive, partially observed stochastic control problem, the modified Zakai equation includes an ex- tra term related to the exponential running cost. The finite- dimensional solutions of this modified Zakai equation are ob- tained. 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.
33 citations