A. Bensoussan, CNES, 2, Place Maurice Quentin, 75039 Paris CEDEX 01, France; J. Frehse, Institut fur Angewandte Mathematik, Universitat Bonn, Beringstr. 6, 53115 Bonn, Germany, e-mail: aaa@iam.uni-bonn.de
Abstract: 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.
Keywords: diagonal elliptic systems, quadratic growth, stochastic differential games, Bellman equation, risk sensitive control
Classification (MSC 2000): 91A15, 93C20, 93E20, 91A80
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