Local asymptotics for controlled martingales

DOI10.1214/15-AAP1123MaRDI QIDQ303951zbMATH OpenFDO

Authors Scott N. Armstrong, Ofer Zeitouni

Publication date 23 August 2016

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.2402, https://projecteuclid.org/euclid.aoap/1465905009

zbMATH Keywords

martingalesstochastic controlnonlinear parabolic equation

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20)

Abstract: We consider controlled martingales with bounded steps where the controller is allowed at each step to choose the distribution of the next step, and where the goal is to hit a fixed ball at the origin at time $n$. We show that the algebraic rate of decay (as $n$ increases to infinity) of the value function in the discrete setup coincides with its continuous counterpart, provided a reachability assumption is satisfied. We also study in some detail the uniformly elliptic case and obtain explicit bounds on the rate of decay. This generalizes and improves upon several recent studies of the one dimensional case, and is a discrete analogue of a stochastic control problem recently investigated in Armstrong and Trokhimtchouck [Calc. Var. Partial Differential Equations 38 (2010) 521-540].

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(3)

• Localization for controlled random walks and martingales
• Asymptotic behaviors of random walks on countable groups
• The asynchronous DeGroot dynamics

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