Risk-sensitive exit-time control for stochastic differential equations with path-dependent coefficients

In this work, we study small-noise asymptotics of risk-sensitive exit-time control problems governed by stochastic differential equations with path-dependent coefficients.

Our main result establishes the convergence of the $\log$-transformed exit-time problem to a deterministic control problem with path-dependent coefficients.

For its proof, we first derive a novel variational representation for general $\log$-transformed stochastic control problems with path-dependent coefficients, combining tools from the theory of path-dependent partial differential equations and convex expectations on path spaces.

In a second step, we use probabilistic methods to analyze the convergence of the resulting variational formulas.

To illustrate the scope of our analysis, we consider a computable example for a stochastic differential equation with memory and characterize the limiting problem and associated control strategies.