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Linear Programming Formulations of Singular Stochastic Control Problems: Time-Homogeneous Problems - MaRDI portal

Linear Programming Formulations of Singular Stochastic Control Problems: Time-Homogeneous Problems

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Publication:6289530

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arXiv1707.09209MaRDI QIDQ6289530

Thomas G. Kurtz, Richard H. Stockbridge

Publication date: 28 July 2017

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Transition functions, generators and resolvents (60J35)

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