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Controlled diffusions in a random medium*

 

作者: A. Bensoussan,   G. Blankenship,  

 

期刊: Stochastics  （Taylor Available online 1988）
卷期: Volume 24, issue 2  

页码: 87-120

 

ISSN:0090-9491

 

年代: 1988

 

DOI:10.1080/17442508808833511

 

出版商: Gordon and Breach Science Publishers, Inc

 

关键词: Homogenization;Bellman equation;random medium;stochastic control;perturbation methods;diffusion processes

 

数据来源: Taylor

 

摘要:

Using homogenization theory we treat the problem of controlled diffusions in a random medium with rapidly varying composition. This involves homogenization of a nonlinear Bellman dynamic programming equation wtih rapidly varying random coefficients. The appropriate "averaged form" of this equation is derived to define the limiting contrl problem; and a precise convergence result is given

 

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