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
Full text available as PDF (smallest), as compressed PostScript (.ps.gz) or as raw PostScript (.ps).
Access to the full text of journal articles on this site is restricted to the subscribers of Myris Trade. To activate your access, please contact Myris Trade at myris@myris.cz.