Spatiotemporal robust control in infinite dimensional spaces
Anastasios Xepapadeas () and
No 1405, DEOS Working Papers from Athens University of Economics and Business
We formulate infinite dimensional stochastic robust optimal control problems, motivated by applications arising in interconnected economic systems, or spatially extended economies. We study in detail linear quadratic problems and nonlinear problems. We derive optimal robust controls and identify conditions under which concerns about model misspecification at specific cite(s) could cause regulation to break down, to be very costly, or to induce pattern formation and spatial clustering. We call sites associated with these phenomena hot spots.
Keywords: Infinite dimensional stochastic control; robust control; Operator and matrix Riccati equation; Hot spot formation; Pattern formation; Hamilton-Jacobi Bellman equation (search for similar items in EconPapers)
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