Monitoring the Drift Coefficient of a Diffusion Process Using the Dynamic Programming

2016 ◽  
Vol 5 (2) ◽  
pp. 134-138
Author(s):  
Reza Habibi ◽  
Hamed Habibi
Keyword(s):  
Dynamic Programming ◽  
Diffusion Process ◽  
Drift Coefficient

Controlled Switching Diffusions Under Ambiguity: The Average Criterion

2021 ◽  
pp. 2150017
Author(s):  
Beatris A. Escobedo-Trujillo ◽  
Carmen G. Higuera-Chan ◽  
José Daniel López-Barrientos
Keyword(s):  
Diffusion Process ◽  
Control Problem ◽  
Unknown Parameter ◽  
Controlled Switching ◽  
Switching Diffusions ◽  
Central Controller ◽  
Average Criterion ◽  
Drift Coefficient

This paper concerns controlled switching diffusions. In particular, we consider that the drift coefficient of the diffusion process depends on an unknown (and possibly nonobservable) parameter. For giving solution to our control problem, we formulate it as a game against nature, where the ambiguity is represented by nature that chooses values of the unknown parameter through actions so playing the role as an opposite player of the controller. Our objective is to give conditions to characterize the ergodic optimality and guarantee the existence of optiaml policies for the central controller. Finally, we provide two examples to illustrate our results.

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