Estimation of robustness for controlled diffusion processes

DOI10.1080/07362999908809611MaRDI QIDQ4248572zbMATH OpenOpenAlexFDO

Authors E. Lemus-Rodríguez, Evgueni Gordienko

Publication date 10 June 1999

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999908809611

zbMATH Keywords

\(\varepsilon\)-optimal control policycontrolled diffusion processoptimization with constraintsrobustness inequality

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Review text

Consider the problem of controlling a system described by a stochastic differential equation whose coefficients are known only up to a certain degree of accuracy. One could choose a suitable system within the range -- for instance, a linear system or one that is smooth enough -- find an \(\varepsilon\)-optimal control policy for this system, and use it for controlling the original system. To what degree is the performance of that control still good in the original system? The robustness inequality for an optimization problem with constraints given by contractive operators is adapted to controlled stochastic differential equations, and applications to the estimation of the approximation accuracy of controlled processes are discussed.

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Cites work

• An estimate of the stability of optimal control of certain stochastic and deterministic systems
• Continuity Theorems in Stochastic Control Problems
• Controlled Markov processes and viscosity solutions
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)

Cited in

(4)

• Robust M-estimators in diffusion processes
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• Estimation of the optimality deviation in discounted semi-Markov control models
• Robustness of optimal controlled diffusions with near-Brownian noise via rough paths theory

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