Controlled diffusions in a random medium
Alain Bensoussan, G. L. Blankenship · Stochastics · 1988
Using homogenization theory we treat the problem of controlled diffusions in a random medium with rapidly varying composition. This involves homogenization of a nonlinear Bellman dynamic programming equation wtih rapidly varying random coefficients. The appropriate "averaged form" of this equation is derived to define the limiting contrl problem; and a precise convergence result is given