Infinite-Dimensional Linear Programming Approach to SingularStochastic Control

DOI10.1137/S036301299528685XMaRDI QIDQ4337423zbMATH OpenFDO

Authors Michael Taksar

Publication date 19 May 1997

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlsingular control probleminfinite-dimensional linear programmingvariational inequality with gradient constraints

Mathematics Subject Classification ID

Programming in abstract spaces (90C48) Optimal stochastic control (93E20)

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Cited in

(19)

• A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems
• Control of diffusions via linear programming
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
• Lipschitzian stability of parametric variational inequalities over generalized polyhedra in Banach spaces
• On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
• On a class of infinite-dimensional singular stochastic control problems
• Convergence of finite element methods for singular stochastic control
• An almost optimal control design method for nonlinear time-delay systems
• A class of discounted models for singular diffusion control
• Brownian inventory models with convex holding cost. II: Discount-optimal controls
• Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
• MF-OMO: An Optimization Formulation of Mean-Field Games
• scientific article; zbMATH DE number 5604780 (Why is no real title available?)
• Optimal asset liquidation with multiplicative transient price impact
• Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
• A dynamic analytic method for risk-aware controlled martingale problems
• Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems
• Solving the drift control problem
• Determining the Optimal Control of Singular Stochastic Processes Using Linear Programming

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