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Control of Diffusions via Linear Programming - MaRDI portal

Control of Diffusions via Linear Programming

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Publication:3001282

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DOI10.1007/978-1-4419-1642-6_16zbMath1219.90206OpenAlexW48738682MaRDI QIDQ3001282

Benjamin van Roy, Jiarui Han

Publication date: 31 May 2011

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-1642-6_16

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Dynamic programming (90C39) Semi-infinite programming (90C34) Portfolio theory (91G10)

Related Items (2)

Relationship between least squares Monte Carlo and approximate linear programming ⋮ Linear Programming and the Control of Diffusion Processes

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