Type:
Conference Paper›Invited and refereed articles in conference proceedings
Authored by:
Baras, John S., Bensoussan, Alain., Elliott, Robert J.
Conference date:
December 13-15, 1995
Conference:
The 34th IEEE Conference on Decision and Control, Vol. 3, pp. 2853-2857
Full Text Paper:
Abstract:
We consider in this presentation the risk-sensitive control problem with partial observation. Risk-sensitive Zakai and Kushner equations are established and studied. They are explicitly solved in all situations where the classical Zakai and Kushner equations can be solved. In these cases the solution of the control problem can be characterized nicely. Also, the small noise case is considered. The limit problem is a differential game with output control. The full justification of all the results is still a long range plan.