Diffusion Approximation and Optimal Stochastic Control
نویسندگان
چکیده
منابع مشابه
Diffusion Approximation and Optimal Stochastic Control
In the paper a stochastic control model is studied, that admits a diffusion approximation. In the prelimit model the disturbances are given by noise processes of various types: additive stationary noise, rapidly oscillating processes, and discontinuous processes with large intensity for jumps of small size. We show that a feedback control, that satisfies a Lipschitz condition and is δ−optimal f...
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ژورنال
عنوان ژورنال: Theory of Probability & Its Applications
سال: 2000
ISSN: 0040-585X,1095-7219
DOI: 10.1137/s0040585x97977860