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math.OC2025
Robustness of optimal control for controlled regime-switching diffusions with incorrect models
Somnath Pradhan, Dinesh Rathia
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and disc…
math.OC2025
Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov and Large Interacting Particle Diffusions
Somnath Pradhan, Serdar Yuksel
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approxima…
math.OC2025
Discrete-Time Approximations of Controlled Diffusions with Infinite Horizon Discounted and Average Cost
Somnath Pradhan, Serdar Yuksel
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our…