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Stochastic Optimal Control and Linear Programming Approach.

Authors :
Buckdahn, R.
Goreac, D.
Quincampoix, M.
Source :
Applied Mathematics & Optimization. Apr2011, Vol. 63 Issue 2, p257-276. 20p.
Publication Year :
2011

Abstract

We study a classical stochastic optimal control problem with constraints and discounted payoff in an infinite horizon setting. The main result of the present paper lies in the fact that this optimal control problem is shown to have the same value as a linear optimization problem stated on some appropriate space of probability measures. This enables one to derive a dual formulation that appears to be strongly connected to the notion of (viscosity sub) solution to a suitable Hamilton-Jacobi-Bellman equation. We also discuss relation with long-time average problems. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
00954616
Volume :
63
Issue :
2
Database :
Academic Search Index
Journal :
Applied Mathematics & Optimization
Publication Type :
Academic Journal
Accession number :
57677155
Full Text :
https://doi.org/10.1007/s00245-010-9120-y