Output Feedback Risk - Sensitive Control and Differential Games for Continuous - Time Nonlinear Systems

Abstract

In this paper we carry out a formal analysis of an output feedback risk-sensitive stochastic control problem. Using large deviation limits, this problem is related to a deterministic output feedback differential game. Both problems are solved using appropriate information states. The use of an information state for the game problem is new, and is the principal contribution of our work. Our results have implications for the nonlinear robust stabilization problem.