Discounted robust control for Markov diffusion processes

José López-Barrientos (), Héctor Jasso-Fuentes () and Beatris Escobedo-Trujillo ()

TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, 2015, vol. 23, issue 1, 53-76

Abstract: In this paper we give conditions for the existence of discounted robust optimal policies under an infinite planning horizon for a general class of controlled diffusion processes. As for the attribute “robust” we mean the coexistence of unknown and non-observable parameters affecting the coefficients of the diffusion process. To obtain optimality, we rewrite the problem as a zero-sum game against nature, also known as worst case optimal control. Our analysis is based on the use of the dynamic programming technique by showing, among other facts, the existence of classical solutions (twice differentiable solutions) of the so-called Hamilton Jacobi Bellman equation. We provide an example on pollution accumulation control to illustrate our results. Copyright Sociedad de Estadística e Investigación Operativa 2015

Keywords: Robust control; Discounted criterion; Controlled diffusions; 93E20; 60J60 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11750-014-0323-2 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:topjnl:v:23:y:2015:i:1:p:53-76

Ordering information: This journal article can be ordered from
http://link.springer.de/orders.htm

DOI: 10.1007/s11750-014-0323-2

Access Statistics for this article

TOP: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Juan José Salazar González and Gustavo Bergantiños

More articles in TOP: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().