Large deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections

This paper shows that, for ρ-POMDPs with λ ρ -Lipschitz reward function (and thus for any POMDP) and for finite horizons, the optimal value function is still LC, a property that

On the contrary, if the limit value exists but the uniform value does not, he really needs to know the time horizon before choosing a control.. We will prove that our results do

Abstract: Under the hypothesis of convergence in probability of a sequence of c` adl` ag processes (X n ) n to a c` adl` ag process X, we are interested in the convergence

L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des

We develop the solution of a “higher-level” optimal control problem, where we use all the controllers built in the first step in order to visit each of the marked states with

We assume that the reward function is bounded and Borel-measurable, and we prove that the value function is continuous and can be characterized as the unique solution of a

Appendix C: discontinuous mixed single or multiple optimal stopping problems In this appendix we first study a mixed optimal control-optimal stopping time problem and we prove that

We rst give some general results such as aggregation, Mertens decomposition of the value process, Skorokhod conditions sat- ised by the associated non decreasing processes; then,