Approximation Methods for the Minimum Average Cost Per Unit Time Problem with a Diffusion Model.
BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS
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Approximation methods for the minimum average cost per unit time problem with a controlled diffusion model is treated. In order to work with a bounded state space, the reflecting diffusion model of Strook and Varadhan is used, although other models can also be treated. The control problem is approximated by an average cost per unit time problem for a Markov chain, and weak convergence methods are used to show convergence of the minimum costs to that for the optimal diffusion. The procedure is quite natural and allows the approximation of many interesting functionals of the optimal process.
- Economics and Cost Analysis
- Statistics and Probability