Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
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Publication:2441319
DOI10.1007/s00184-013-0476-2zbMath1455.49015MaRDI QIDQ2441319
Publication date: 24 March 2014
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-013-0476-2
49L20: Dynamic programming in optimal control and differential games
90C05: Linear programming
90C39: Dynamic programming
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
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