Estimation of robustness for controlled diffusion processes
- 1 January 1999
- journal article
- research article
- Published by Taylor & Francis in Stochastic Analysis and Applications
- Vol. 17 (3) , 421-441
- https://doi.org/10.1080/07362999908809611
Abstract
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 discussedKeywords
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