A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems

DOI10.1214/ECP.V17-1844zbMATH Open1245.93144MaRDI QIDQ428740FDOQ428740

Authors: Dan Goreac, Oana Silvia Serea 

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

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zbMATH Keywords

stochastic controldynamic programming principlesoccupational measures

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cited In (8)

• On sets of occupational measures generated by a deterministic control system on an infinite time horizon
• Optimality issues for a class of controlled singularly perturbed stochastic systems
• An LP approach to dynamic programming principles for stochastic control problems with state constraints
• Existence of asymptotic values for nonexpansive stochastic control systems
• Some applications of linear programming formulations in stochastic control
• Linearization techniques for \(\mathbb{L}^{p}\)-control problems and dynamic programming principles in classical and \(\mathbb{L}^{p}\)-control problems
• Discontinuous control problems with state constraints: linear formulations and dynamic programming principles
• Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time

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