2023/11/06 by Somnath Pradhan, Serdar Yüksel, Pradhan, Somnath +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #60J60 #91A15 secondary: 49K45 #93A14 #Auction Theory and Applications #Climate Change Policy and Economics #Economic Policies and Impacts #FOS: Mathematics #Optimization and Control (math.OC) #primary: 93E20
paper · pdf · doi:10.48550/arxiv.2311.03254
openalex publication_date 2023/11/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed models and multi-agent models with decentralized information structures. While there exist comprehensive existence and approximations results for the fully observed setup in the literature, few prior research exists on discrete-time approximation results for partially observed models. For decentralized models, even existence results have not received much attention except for specialized models and approximation has been an open problem. Our existence and approximations results lead to the applicability of well-established partially observed Markov decision processes and the relatively more mature theory of discrete-time decentralized stochastic control to be applicable for computing near optimal solutions for continuous-time stochastic control.