On the LP formulation in measure spaces of optimal control problems for jump-diffusions
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Publication:888805
DOI10.1016/j.sysconle.2015.08.008zbMath1322.93106arXiv1504.03392OpenAlexW1832383382MaRDI QIDQ888805
Publication date: 2 November 2015
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.03392
linear programmingviscosity solutionstochastic controloccupation measuredual formulationjump-diffusion
Linear programming (90C05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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