Controlled Diffusions in a Random Medium.

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dc.contributor.authorBensoussan, Alainen_US
dc.contributor.authorBlankenehip, Gilmer L.en_US
dc.contributor.departmentISRen_US
dc.date.accessioned2007-05-23T09:38:13Z
dc.date.available2007-05-23T09:38:13Z
dc.date.issued1987en_US
dc.description.abstractUsing 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.en_US
dc.format.extent734798 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/1903/4624
dc.language.isoen_USen_US
dc.relation.ispartofseriesISR; TR 1987-116en_US
dc.titleControlled Diffusions in a Random Medium.en_US
dc.typeTechnical Reporten_US

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