Singular Limits of Bellman Equations of Ergodic Type Related to Risk-Sensitive Control
Chapter
Abstract
We take up a particular class of Bellman-Isaacs equations of ergodic type related to risk-sensitive control, whose solutions satisfying a kind of semi-boundedness condition are unique up to additive constants. To study their singular limits we prove dynamic programing principle for ergodic control. Although the limit equations have in general infinitely many viscosity solutions, by giving variational representations, we characterize the singular limits among those solutions.
Keywords
Bellman-Isaacs equation of ergodic type risk-sensitive control singular limit dynamic programming principlePreview
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