Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems
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Publication:3827159
DOI10.1093/IMAMCI/6.1.21zbMath0673.49014OpenAlexW2119989031MaRDI QIDQ3827159
Publication date: 1989
Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imamci/6.1.21
Numerical mathematical programming methods (65K05) Linear programming (90C05) Optimal stochastic control (93E20)
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