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)

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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
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• scientific article; zbMATH DE number 158461 (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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