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

DOI10.1016/J.NA.2012.09.002MaRDI QIDQ690937zbMATH OpenOpenAlexFDO

Authors Dan Goreac, Carina Ivaşcu, Oana Silvia Serea

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

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)

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• A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems

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