Approximations and Optimal Control for the Pathwise Average Cost per Unit Time and Discounted Problems for Wideband Noise Driven Systems

摘要

Average cost per unit time (over an infinite time horizon) optimal control problems for diffusion and other Markov models have been dealt with in various ways. We treat such a problem for 'wideband noise driven' and related systems, which are 'close' to a diffusion, and when the average is in the pathwise but not necessarily in the mean value sense. The general method works for many other classes of processes which are suitable approximated by an appropriate controlled Markov process. The results have applications to many other problems where pathwise averages are important, and the noises are 'wideband'.