A robustness result for stochastic control

DOI10.1016/S0167-6911(02)00121-4zbMath0994.93008OpenAlexW2179771332MaRDI QIDQ1603797

Wolfgang J. Runggaldier, Gino Favero

Publication date: 15 July 2002

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(02)00121-4

zbMATH Keywords

robustnessstochastic controlRadon-Nikodym derivativesuboptimal solutions

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Optimal stochastic control (93E20)

Related Items (2)

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Cites Work

• Unnamed Item
• Robustness inequality for Markov control processes with unbounded costs
• Connections between stochastic control and dynamic games
• Robust properties of risk-sensitive control

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