Some applications of linear programming formulations in stochastic control
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Publication:1935294
DOI10.1007/s10957-012-0080-zzbMath1256.93097MaRDI QIDQ1935294
Publication date: 14 February 2013
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-012-0080-z
linear programming; stochastic control; HJB equations; stochastic variational inequality; Zubov's method
90C05: Linear programming
93B18: Linearizations
93E03: Stochastic systems in control theory (general)
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