LARGE DEVIATION LIMIT FOR DISCRETE-TIME, TOTALLY OBSERVED STOCHASTIC-CONTROL PROBLEMS WITH MULTIPLICATIVE COST

Authors
PRA PD RUDARI C
Citation
Pd. Pra et C. Rudari, LARGE DEVIATION LIMIT FOR DISCRETE-TIME, TOTALLY OBSERVED STOCHASTIC-CONTROL PROBLEMS WITH MULTIPLICATIVE COST, Applied mathematics & optimization, 35(2), 1997, pp. 221-235
Citations number
15
Categorie Soggetti
Mathematics,Mathematics
Journal title
Applied mathematics & optimization → ACNP
ISSN journal
00954616
Volume
35
Issue
2
Year of publication
1997
Pages
221 - 235
Database
ISI
SICI code
0095-4616(1997)35:2<221:LDLFDT>2.0.ZU;2-1
Abstract
We show that a large class of discrete-time dynamic games can be obtai ned as a limit of stochastic control problems with multiplicative cost . Our approach consists in analyzing the large deviation properties of the Markov kernels associated with the stochastic dynamics, and allow s us to give a unitary treatment of several nonlinear models.