Discounted robust control for Markov diffusion processes
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Publication:2343067
DOI10.1007/s11750-014-0323-2zbMath1310.93084OpenAlexW2092483158MaRDI QIDQ2343067
Héctor Jasso-Fuentes, José Daniel López-Barrientos, Beatris Adriana Escobedo-Trujillo
Publication date: 4 May 2015
Published in: Top (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11750-014-0323-2
Sensitivity (robustness) (93B35) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60)
Related Items (3)
Controlled Switching Diffusions Under Ambiguity: The Average Criterion ⋮ Control systems of interacting objects modeled as a game against nature under a mean field approach ⋮ The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints
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