Stochastic functional limit theorems with applications to decision making under uncertainty

Xinjia Chen

doi:10.1117/12.2517383

13 May 2019 Stochastic functional limit theorems with applications to decision making under uncertainty

Xinjia Chen

Proceedings Volume 11021, Unmanned Systems Technology XXI; 110210S (2019) https://doi.org/10.1117/12.2517383
Event: SPIE Defense + Commercial Sensing, 2019, Baltimore, MD, United States

Abstract

A critical issue affecting the success of decision making is the underlying uncertainty. In this paper, we consider decision making problems involving uncertainties characterized by stochastic processes of independent stationary increments. The cost function of decision making is expressed as a function of the decision time and associated values of stochastic processes. The decision time is a stopping time dependent on the parameters of decision rules. We investigate the asymptotic behavior of the cost function as the parameters of decision rules tend to certain values. We demonstrate that the cost function follows stochastic functional limit theorems as the parameters of the decision rules tend to certain values.

Citation Download Citation

Xinjia Chen "Stochastic functional limit theorems with applications to decision making under uncertainty", Proc. SPIE 11021, Unmanned Systems Technology XXI, 110210S (13 May 2019); https://doi.org/10.1117/12.2517383

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