Infinite-Dimensional Linear Programming Approach to SingularStochastic Control

DOI10.1137/S036301299528685XzbMath0880.93060MaRDI QIDQ4337423

Michael I. Taksar

Publication date: 19 May 1997

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlinfinite-dimensional linear programmingsingular control problemvariational inequality with gradient constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Programming in abstract spaces (90C48)

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