Time-average control of martingale problems: A linear programming formulation
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Publication:913228
DOI10.1214/AOP/1176990945zbMath0699.49019OpenAlexW2056945084MaRDI QIDQ913228
Publication date: 1990
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176990945
Applications of mathematical programming (90C90) Linear programming (90C05) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)
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