On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time

DOI10.1080/17442508.2011.580347zbMath1251.93140OpenAlexW1985490727MaRDI QIDQ4648576

Richard H. Stockbridge, François Dufour

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.580347

zbMATH Keywords

linear programmingstochastic controlconstrained controloptimal strict control

Mathematics Subject Classification ID

Linear programming (90C05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

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• Applied stochastic control of jump diffusions.
• Occupation measures for controlled Markov processes: Characterization and optimality
• On the Existence of Optimal Controls
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• Linear Programming Formulation for Optimal Stopping Problems

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