Estimation of robustness for controlled diffusion processes

DOI10.1080/07362999908809611zbMath0941.93055OpenAlexW1972710163MaRDI QIDQ4248572

Enrique Lemus-Rodríguez, Evgueni I. Gordienko

Publication date: 10 June 1999

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999908809611

zbMATH Keywords

optimization with constraintscontrolled diffusion process\(\varepsilon\)-optimal control policyrobustness inequality

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (1)

Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models

Cites Work

• An estimate of the stability of optimal control of certain stochastic and deterministic systems
• Continuity Theorems in Stochastic Control Problems
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