An LP approach to dynamic programming principles for stochastic control problems with state constraints

DOI10.1016/J.NA.2012.09.002zbMATH Open1252.93133OpenAlexW1972718893MaRDI QIDQ690937FDOQ690937

Oana Silvia Serea, Carina Ivaşcu, Dan Goreac

Publication date: 29 November 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2012.09.002

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zbMATH Keywords

linear programmingdynamic programming principlesstochastic control under state constraints

Mathematics Subject Classification ID

Linear programming (90C05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited In (2)

• Improved Dynamic Programming Methods for Optimal Control of Lumped-Parameter Stochastic Systems
• Optimal switching in finite horizon under state constraints

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