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Multiple objective risk-sensitive control and stochastic differential games

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3 Author(s)
Lim, A.E.B. ; Dept. of Syst. Eng. & Eng. Manage., Chinese Univ. of Hong Kong, Shatin, Hong Kong ; Xun Yu Zhou ; Moore, J.B.

In this paper, we study a (minimizing) multiple-objective risk-sensitive control problem, and show the relationship between this problem, a certain stochastic differential game, and what may be regarded as a multiple-objective deterministic differential game. The limiting deterministic differential game is one in which the opponent seeks to maximize the most vulnerable member of a set of given cost functionals, while the original controller seeks to minimize the worst `damage' that the opponent can do over this set. This forms a natural framework in which many applications can be studied

Published in:

Decision and Control, 1999. Proceedings of the 38th IEEE Conference on  (Volume:1 )

Date of Conference:

1999