Optimal control with random parameters: a multiscale approach
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Publication:431771
DOI10.3166/ejc.17.30-45zbMath1248.49038MaRDI QIDQ431771
Annalisa Cesaroni, Martino Bardi
Publication date: 3 July 2012
Published in: European Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3166/ejc.17.30-45
stochastic control; singular perturbations; asymptotic approximation; viscosity solutions; multiscale problems; deterministic control; sensitivity of control problems; well-posedness of control problems
49K40: Sensitivity, stability, well-posedness
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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