On the Solution Structure of Infinite-Dimensional Linear Problems Stemming from Singular Stochastic Control Problems

DOI10.1137/19M1297415zbMath1453.93244WikidataQ114857097 ScholiaQ114857097MaRDI QIDQ5136744

Richard H. Stockbridge, Martin G. Vieten

Publication date: 27 November 2020

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

zbMATH Keywords

linear programming; stochastic control; relaxed controls

Mathematics Subject Classification ID

90C05: Linear programming

93E20: Optimal stochastic control