Convex Duality Approach to the Optimal Control of Diffusions
From MaRDI portal
Publication:3469018
DOI10.1137/0327060zbMath0693.93082OpenAlexW2082219004MaRDI QIDQ3469018
Domokos Vermes, Wendell H. Fleming
Publication date: 1989
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0327060
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)
Related Items (27)
A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ Linear programming based optimality conditions and approximate solution of a deterministic infinite horizon discounted optimal control problem in discrete time ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II ⋮ Duality Theory, Representation Formulas and Uniqueness Results for Viscosity Solutions of Hamilton–Jacobi Equations ⋮ Characterization of the optimal trajectories for the averaged dynamics associated to singularly perturbed control systems ⋮ Linear programming formulations of deterministic infinite horizon optimal control problems in discrete time ⋮ Duality and lower bounds in optimal stochastic control ⋮ On sets of occupational measures generated by a deterministic control system on an infinite time horizon ⋮ Use of Approximations of Hamilton-Jacobi-Bellman Inequality for Solving Periodic Optimization Problems ⋮ Some applications of linear programming formulations in stochastic control ⋮ Linear programming formulation of long-run average optimal control problem ⋮ Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control ⋮ Discontinuous control problems with state constraints: linear formulations and dynamic programming principles ⋮ Unnamed Item ⋮ Optimal arbitrage under model uncertainty ⋮ Computable Primal and Dual Bounds for Stochastic Control ⋮ Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case ⋮ Lagrange lemma and the optimal control of diffusions. II: Nonlinear Lagrange functionals ⋮ On average control generating families for singularly perturbed optimal control problems with long run average optimality criteria ⋮ Semicontinuous Viscosity Solutions For Hamilton–Jacobi Equations With Convex Hamiltonians ⋮ LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The NonErgodic Case ⋮ Optimal control of diffusion processes with terminal constraint in law ⋮ The large time profile for Hamilton-Jacobi-Bellman equations ⋮ Lagrange approach to the optimal control of diffusions ⋮ Averaging and linear programming in some singularly perturbed problems of optimal control ⋮ Convex duality for finite-fuel problems in singular stochastic control ⋮ Optimality issues for a class of controlled singularly perturbed stochastic systems
This page was built for publication: Convex Duality Approach to the Optimal Control of Diffusions
