Stochastic near-optimal control: additive, multiplicative, non-Markovian and applications
Lourival Lima,
Paulo Ruffino,
Francys Souza
Abstract:In this survey we present the near-optimal stochastic control problem according to some recent tools in the literature. In particular, we focus on the approach of a discretization of the noise values instead of the canonical time-discretization. This is the so called skeleton structure. This allows to obtain an ǫ-optimal control in non-Markovian systems (the main Theorem). A simple example illustrates the technique. The importance of the approach is emphasised in a final section on open problems related to mor… Show more
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