An LP approach to dynamic programming principles for stochastic control problems with state constraints

DOI10.1016/J.NA.2012.09.002zbMath1252.93133OpenAlexW1972718893MaRDI QIDQ690937

Oana-Silvia Serea, Carina Ivaşcu, Dan Goreac

Publication date: 29 November 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2012.09.002

zbMATH Keywords

linear programmingdynamic programming principlesstochastic control under state constraints

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear programming (90C05) Optimal stochastic control (93E20)

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