A robustness result for stochastic contr
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Gino Favero; Wolfgang J. Runggaldier
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Article
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2002
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Elsevier Science
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English
β 123 KB
The solution of a stochastic control problem depends on the underlying model. The actual real world model may not be known precisely and so one solves the problem for a hypothetical model, that is in general di erent but close to the real one; the optimal (or nearly optimal) control of the hypotheti