Abstract
This paper presents an asymptotic analysis of a controlled diffusion with an unknown system parameter process. The oscillation rate of the parameter process is assumed to be very fast. This gives rise to a limiting problem in which the unknown system parameter is replaced by its averaged mean value. A control for the original problem can be constructed from the optimal control of the limiting problem in a way which guarantees its asymptotic optimality. The convergence rate of the value function for the original problem is obtained. This helps in providing an error estimate for the constructed asymptotically optimal control.
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© 1992 Springer-Verlag
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Zhang, Q. (1992). Controlled diffusions with rapidly oscillating unknown parameter processes. In: Duncan, T.E., Pasik-Duncan, B. (eds) Stochastic Theory and Adaptive Control. Lecture Notes in Control and Information Sciences, vol 184. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0113264
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DOI: https://doi.org/10.1007/BFb0113264
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-55962-7
Online ISBN: 978-3-540-47327-5
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