Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes
Optimization and Control
2016-08-22 v2
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 -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.
Cite
@article{arxiv.1508.05316,
title = {Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes},
author = {Andrzej Ruszczynski and Jianing Yao},
journal= {arXiv preprint arXiv:1508.05316},
year = {2016}
}