Controlled diffusions in a random medium

Abstract

Using 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 wtih rapidly varying random coefficients. The appropriate "averaged form" of this equation is derived to define the limiting contrl problem; and a precise convergence result is given

Keywords:

• Homogenization
• Bellman equation
• random medium
• stochastic control
• perturbation methods
• diffusion processes

^*This Research Supported in Part by Grant INT-84-13793 From the NSF International Programs Office

^*This Research Supported in Part by Grant INT-84-13793 From the NSF International Programs Office

Notes

^*This Research Supported in Part by Grant INT-84-13793 From the NSF International Programs Office