Linear programming and the control of diffusion processes
DOI10.1287/IJOC.2015.0651zbMATH Open1339.49026OpenAlexW2152868343MaRDI QIDQ2802245FDOQ2802245
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
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Numerical mathematical programming methods (65K05) Linear programming (90C05) Diffusion processes (60J60) Portfolio theory (91G10) Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Numerical methods involving duality (49M29) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
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- The Linear Programming Approach to Approximate Dynamic Programming
- Generalized polynomial approximations in Markovian decision processes
- On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
- Evaluating Portfolio Policies: A Duality Approach
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Control of Diffusions via Linear Programming
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