A diffusion control problem with a path-dependent cost functional – PADS seminar
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Speaker: Ananda Weerasinghe (ISU)
ISU PADS Seminar (Probability, Analysis, and Data Science Seminar) Feb 24 (4:10pm) – Ananda Weerasinghe (ISU) Title: A diffusion control problem with a path-dependent cost functional Abstract: We analyze and obtain the solution to a diffusion control problem (DCP) with a cost structure consists of two types of costs: a cost due to increase of the running maximum of the state process and a control cost where the control term effects the linear drift of the state process and it helps to slow down the growth of the running maximum. This DCP is obtained as the diffusion approximation of an infinite-server controlled stochastic processing system. The solution to this DCP enables us to find nearly optimal controls for the control problem associated with the processing system.