On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems

DOI10.1137/19M1297415MaRDI QIDQ5136744zbMATH OpenOpenAlexWikidataFDO

Authors Martin G. Vieten, Richard H. Stockbridge

Publication date 27 November 2020

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

Full work available at URL https://doi.org/10.1137/19m1297415

zbMATH Keywords

linear programmingrelaxed controlsstochastic control

Mathematics Subject Classification ID

Linear programming (90C05) Optimal stochastic control (93E20)

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Cites work

• BSDE on an infinite horizon and elliptic PDEs in infinite dimension
• Convergence of finite element methods for singular stochastic control
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• scientific article; zbMATH DE number 1324223 (Why is no real title available?)
• Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
• Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
• Occupation measures for controlled Markov processes: Characterization and optimality
• Optimal harvesting from a population in a stochastic crowded environment
• Probability with Martingales

Cited in

(7)

• A pair of explicitly solvable singular stochastic control problems
• Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
• On a class of infinite-dimensional singular stochastic control problems
• Data-driven rules for multidimensional reflection problems
• Scaling and saturation in infinite-dimensional control problems with applications to stochastic partial differential equations
• Finite element approximations for stochastic control problems with unbounded state space
• Stochastic variational formulas for solutions to linear diffusion equations

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