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Estimation of robustness for controlled diffusion processes

 

作者: Evgueni Gordienko,   Enrique Lemus-Rodríguez,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1999）
卷期: Volume 17, issue 3  

页码: 421-441

 

ISSN:0736-2994

 

年代: 1999

 

DOI:10.1080/07362999908809611

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

The robustness inequality for an optimization problem with constraints given by contractive operators is adapted to controlled stochastic differential equations. Some applications to estimation of approximation accuracy of controlled processes are discussed

 

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