Asymptotic lower bounds for optimal tracking: a linear programming approach
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Publication:1676447
DOI10.1214/16-AAP1264zbMath1373.93376arXiv1510.04295OpenAlexW3125566892MaRDI QIDQ1676447
Jiatu Cai, Peter Tankov, Mathieu Rosenbaum
Publication date: 7 November 2017
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.04295
linear programmingoccupation measureimpulse controlsingular controloptimal trackingasymptotic lower boundregular control
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