Controlled Diffusions in a Random Medium.
Blankenehip, Gilmer L.
MetadataShow full item record
Using homogenization theory we treat the problem of controlled diffusions in a random medium with rapidly varying composition. This involves homogenization of a nonlinear Bellman dynamic programming equation with rapidly varying random coefficients. The appropriate "averaged form" of this equation is derived to define the limiting control problem; and a precise convergence result is given.