Adaptive control of diffusion processes with a discounted reward criterion
Volume 47 / 2020
Applicationes Mathematicae 47 (2020), 225-253
MSC: 93E10, 93E20, 93E24, 60J60.
DOI: 10.4064/am2421-10-2020
Published online: 9 December 2020
Abstract
The optimal control problem we are dealing with in this paper is to determine control policies that maximize a discounted reward criterion when the dynamic system evolves as a stochastic differential equation (SDE). Both the instantaneous reward function and the SDE’s drift coefficient may depend on an unknown parameter. We give conditions ensuring the existence of an asymptotically optimal policy using the so-called Principle of Estimation and Control. We illustrate our results with several examples.
