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Proceedings Paper

Stochastic functional limit theorems with applications to decision making under uncertainty
Author(s): Xinjia Chen
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Paper 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.

Paper Details

Date Published: 13 May 2019
PDF: 14 pages
Proc. SPIE 11021, Unmanned Systems Technology XXI, 110210S (13 May 2019); doi: 10.1117/12.2517383
Show Author Affiliations
Xinjia Chen, Northwestern State Univ. (United States)

Published in SPIE Proceedings Vol. 11021:
Unmanned Systems Technology XXI
Charles M. Shoemaker; Hoa G. Nguyen; Paul L. Muench, Editor(s)

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