Linear programming and the control of diffusion processes

DOI10.1287/IJOC.2015.0651MaRDI QIDQ2802245zbMATH OpenOpenAlexFDO

Authors Andrew Ahn, Martin B. Haugh

Publication date 25 April 2016

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/393049bf6eb90afd0252b54df0c388229fb59a3b

zbMATH Keywords

diffusion processesdualitylinear programmingportfolio optimization

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Numerical methods involving duality (49M29) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• Control of diffusions via linear programming
• Evaluating Portfolio Policies: A Duality Approach
• Generalized polynomial approximations in Markovian decision processes
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
• The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
• The Linear Programming Approach to Approximate Dynamic Programming

Cited in

(3)

• Relationship between least squares Monte Carlo and approximate linear programming
• Control of diffusions via linear programming
• Logarithmic-barrier decomposition interior-point methods for stochastic linear optimization in a Hilbert space

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