López-Barrientos, José; Jasso-Fuentes, Héctor; … - In: TOP: An Official Journal of the Spanish Society of … 23 (2015) 1, pp. 53-76
In this paper we give conditions for the existence of discounted robust optimal policies under an infinite planning horizon for a general class of controlled diffusion processes. As for the attribute “robust” we mean the coexistence of unknown and non-observable parameters affecting the...