On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time

DOI10.1080/17442508.2011.580347zbMATH Open1251.93140OpenAlexW1985490727MaRDI QIDQ4648576FDOQ4648576

Authors: Richard H. Stockbridge, F. Dufour 

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.580347

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zbMATH Keywords

linear programmingstochastic controlconstrained controloptimal strict control

Mathematics Subject Classification ID

Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Cites Work

• Occupation measures for controlled Markov processes: Characterization and optimality
• Title not available (Why is that?)
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• Applied stochastic control of jump diffusions.
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• On the Existence of Optimal Controls
• Linear Programming Formulation for Optimal Stopping Problems

Cited In (17)

• On sets of occupational measures generated by a deterministic control system on an infinite time horizon
• Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method
• Optimality issues for a class of controlled singularly perturbed stochastic systems
• Superposition and mimicking theorems for conditional McKean-Vlasov equations
• Closed-loop convergence for mean field games with common noise
• Mean field games via controlled martingale problems: existence of Markovian equilibria
• Limit theory for controlled McKean-Vlasov dynamics
• Control and optimal stopping mean field games: a linear programming approach
• Controlled semi-Markov processes with constraints on control strategies and construction of optimal strategies in reliability and safety models
• Continuity of Optimal Values and Solutions for Control of Markov Chains with Constraints
• Title not available (Why is that?)
• Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
• Title not available (Why is that?)
• Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
• \(N\)-player games and mean-field games with smooth dependence on past absorptions
• A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks
• The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints

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