Stochastic Control for Small Noise Intensities
From MaRDI portal
Publication:5623583
DOI10.1137/0309035zbMath0218.93024OpenAlexW2066867936MaRDI QIDQ5623583
Publication date: 1971
Published in: SIAM Journal on Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0309035
Related Items (30)
Risk-sensitivity, large deviations and stochastic control ⋮ On the stability of the information state system ⋮ Computational economics and economic theory: Substitutes or complements? ⋮ Small-noise asymptotics of Hamilton-Jacobi-Bellman equations and bifurcations of stochastic optimal control problems ⋮ Optimal exit probabilities and differential games ⋮ Stochastic calculus of variations and mechanics ⋮ Linear-quadratic approximation of optimal policy problems ⋮ Variational and optimal control representations of conditioned and driven processes ⋮ Solving dynamic general equilibrium models using a second-order approximation to the policy function ⋮ Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games ⋮ Solving DSGE models with a nonlinear moving average ⋮ Small noise asymptotics for a stochastic growth model ⋮ Approximate solution of Bellman's equation for a class of optimal trerminal state control problems ⋮ On the limiting behavior of Burger's equation ⋮ A risk-sensitive maximum principle ⋮ On an approximate effective speed of propagation ⋮ Scaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equations ⋮ Optimal control of certain quasilinear stochastic systems ⋮ A local analysis of N-sector capital accumulation under uncertainty ⋮ Exit probabilities and optimal stochastic control ⋮ Front propagation for reaction-diffusion equations of bistable type ⋮ Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime ⋮ A note on deterministic approximation of discounted Markov decision processes ⋮ A numerical technique for small-noise stochastic control problems ⋮ Approximate synthesis method fo r optimal control of a system subjected to random perturbations ⋮ Ergodic expansions in small noise problems ⋮ Perturbed linear stochastic dynamical systems ⋮ Large deviation principle for spatial economic growth model on networks ⋮ Multiple-objective risk-sensitive control and its small noise limit ⋮ Exit problem and control theory
This page was built for publication: Stochastic Control for Small Noise Intensities