Controlled Switching Diffusions Under Ambiguity: The Average Criterion

Beatris A. Escobedo-Trujillo (), Carmen G. Higuera-Chan () and José Daniel López-Barrientos
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Beatris A. Escobedo-Trujillo: Facultad de Ingeniería, Universidad Veracruzana, Campus Coatzacoalcos. Av. Universidad km 7.5 col. Santa Isabel, CP96535, Coatzacoalcos, Veracruz, México
Carmen G. Higuera-Chan: Departamento de Matemáticas, Universidad de Sonora, Rosales s/n, Col. Centro 83000 Hermosillo, Sonora, México
José Daniel López-Barrientos: Facultad de Ciencias Actuariales, Universidad Anáhuac México, Av. Universidad Anáhuac, no. 46 Col. Lomas Anáhuac, Huixquilucan, Edo. de México, México

International Game Theory Review (IGTR), 2021, vol. 23, issue 04, 1-26

Abstract: This paper concerns controlled switching diffusions. In particular, we consider that the drift coefficient of the diffusion process depends on an unknown (and possibly nonobservable) parameter. For giving solution to our control problem, we formulate it as a game against nature, where the ambiguity is represented by nature that chooses values of the unknown parameter through actions so playing the role as an opposite player of the controller. Our objective is to give conditions to characterize the ergodic optimality and guarantee the existence of optimal policies for the central controller. Finally, we provide two examples to illustrate our results.

Keywords: Control of switching diffusions; control model under ambiguity and long-run average criterion; vanishing discount technique (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S0219198921500171

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