Stochastic optimal control and linear programming approach
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Publication:535338
DOI10.1007/s00245-010-9120-yzbMath1226.93137OpenAlexW2039953262MaRDI QIDQ535338
Marc Quincampoix, Dan Goreac, Rainer Buckdahn
Publication date: 11 May 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9120-y
linear programmingviscosity solutionsoccupational measureslong-time averagingstochastic control under constraints
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear programming (90C05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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