Geodesic
On Bellman systems without zero order term in the context of risk sensitive differential games
Mathematica Bohemica, Tome 126 (2001) no. 2, pp. 275-280

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MR Zbl
Bellman systems corresponding to stochastic differential games arising from a cost functional which models risk aspects are considered. Here it leads to diagonal elliptic systems without zero order term so that no simple $L^{\infty }$-estimate is available.
Bellman systems corresponding to stochastic differential games arising from a cost functional which models risk aspects are considered. Here it leads to diagonal elliptic systems without zero order term so that no simple $L^{\infty }$-estimate is available.
DOI : 10.21136/MB.2001.134023
Classification : 49L20, 49N70, 91A15, 91A23, 91A80, 93A20, 93C20, 93E20
Keywords: diagonal elliptic systems; quadratic growth; stochastic differential games; Bellman equation; risk sensitive control 
Bensoussan, A.; Frehse, J. On Bellman systems without zero order term in the context of risk sensitive differential games. Mathematica Bohemica, Tome 126 (2001) no. 2, pp. 275-280. doi: 10.21136/MB.2001.134023
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[1] A. Bensoussan, J. Frehse: Nonlinear elliptic systems in stochastic game theory. J. Reine Angew. Math. Mathematik 350 (1984), 23–67. | MR

[2] H. Nagaï: Bellman equation of risk sensitive control. SIAM J. Control Optim. 34 (1996), 74–101. | DOI | MR

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