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Non-robustness with Respect to Intervention Costs in Optimal Control.
- Source :
- Stochastic Analysis & Applications; Mar2004, Vol. 22 Issue 2, p333-340, 8p
- Publication Year :
- 2004
-
Abstract
- It is well known that a wide range of impulse control problems are continuous, but not differentiable, with respect to intervention cost as it approaches zero. We show a similar non-C<superscript>1</superscript> result, assuming that the problem and the value function are sufficiently regular. The result is that if the value function is locally C<subscript>1</subscript> in the state variable, then it does not admit first order approximation wrt. the intervention cost. Our analysis also covers problems with reflection (i.e., vanishing impulse). [ABSTRACT FROM AUTHOR]
- Subjects :
- MATHEMATICAL functions
COST
APPROXIMATION theory
MATHEMATICS
MATHEMATICAL analysis
Subjects
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 22
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 12780509
- Full Text :
- https://doi.org/10.1081/SAP-120028593