On the LP formulation in measure spaces of optimal control problems for jump-diffusions (Q888805)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the LP formulation in measure spaces of optimal control problems for jump-diffusions |
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On the LP formulation in measure spaces of optimal control problems for jump-diffusions (English)
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2 November 2015
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stochastic control
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jump-diffusion
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linear programming
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occupation measure
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dual formulation
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viscosity solution
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