Some applications of linear programming formulations in stochastic control

DOI10.1007/s10957-012-0080-zzbMath1256.93097OpenAlexW2067283326MaRDI QIDQ1935294

Dan Goreac, Oana-Silvia Serea

Publication date: 14 February 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0080-z

zbMATH Keywords

linear programmingstochastic controlHJB equationsstochastic variational inequalityZubov's method

Mathematics Subject Classification ID

Linear programming (90C05) Linearizations (93B18) Stochastic systems in control theory (general) (93E03)

Related Items (3)

Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls ⋮ Unnamed Item ⋮ Border Avoidance: Necessary Regularity for Coefficients and Viscosity Approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mayer and optimal stopping stochastic control problems with discontinuous cost
• Stochastic optimal control and linear programming approach
• Time-average control of martingale problems: Existence of a stationary solution
• Asymptotic behavior of dynamical and control systems under perturbation and discretization
• Second order Hamilton-Jacobi-Bellman inequalities
• SDEs with oblique reflection on nonsmooth domains
• Averaging of singularly perturbed controlled stochastic differential equations
• Occupation measures for controlled Markov processes: Characterization and optimality
• Characterizing attraction probabilities via the stochastic Zubov equation
• A Generalization of Zubov's Method to Perturbed Systems
• Differential Games and Zubov's Method
• STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD
• Convex Duality Approach to the Optimal Control of Diffusions
• Linear Programming Approach to Deterministic Infinite Horizon Optimal Control Problems with Discounting
• Control Lyapunov Functions and Zubov's Method
• A Lyapunov-Like Characterization of Asymptotic Controllability
• Approximation and simulation of stochastic variational inequalities - splitting up method
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• Nonlinear Optimal Control via Occupation Measures and LMI-Relaxations
• Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints

This page was built for publication: Some applications of linear programming formulations in stochastic control