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arXiv · 1508.05316

Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes

Andrzej Ruszczynski·Jianing Yao
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Abstract

We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we construct a family of time and space perturbed systems with piecewise-constant control functions. We obtain a regularized optimal value function by a special mollification procedure. This allows us to establish a bound on the difference between the optimal value functions of the original problem and of the problem with piecewise-constant controls.

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Andrzej Ruszczynski, Jianing Yao. 2016-08-19. Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes. https://arxiv.org/abs/1508.05316

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