TY - JOUR
T1 - Deterministic approximation for stochastic control problems
AU - Liptser, R. Sh
AU - Runggaldier, W. J.
AU - Taksar, M.
PY - 1996/1
Y1 - 1996/1
N2 - We consider a class of stochastic control problems where uncertainty is due to driving noises of general nature as well as to rapidly fluctuating processes affecting the drift. We show that, when the noise "intensity" is small and the fluctuations become fast, the stochastic problems can be approximated by a deterministic one. We also show that the optimal control of the deterministic problem is asymptotically optimal for the stochastic problems.
AB - We consider a class of stochastic control problems where uncertainty is due to driving noises of general nature as well as to rapidly fluctuating processes affecting the drift. We show that, when the noise "intensity" is small and the fluctuations become fast, the stochastic problems can be approximated by a deterministic one. We also show that the optimal control of the deterministic problem is asymptotically optimal for the stochastic problems.
KW - Asymptotic optimality
KW - Stochastic and deterministic control
KW - Stochastic differential equations
KW - Weak convergence
UR - http://www.scopus.com/inward/record.url?scp=0029754939&partnerID=8YFLogxK
U2 - 10.1137/S0363012993254540
DO - 10.1137/S0363012993254540
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AN - SCOPUS:0029754939
SN - 0363-0129
VL - 34
SP - 161
EP - 178
JO - SIAM Journal on Control and Optimization
JF - SIAM Journal on Control and Optimization
IS - 1
ER -