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Stochastic Optimal Control and Linear Programming Approach · Study

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ArticleStochastic Optimal Control and Linear Programming Approach

Rainer Buckdahn2010

Article2010

Stochastic Optimal Control and Linear Programming Approach

Rainer Buckdahn · Dan Goreac · Marc Quincampoix

41 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Optimization and Variational Analysis Adaptive Dynamic Programming Control

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References

2005Controlled Markov Processes and Viscosity Solutions 1999Stochastic controls : Hamiltonian systems and HJB equations 1994Controlled markov processes and viscosity solutions 1998Existence of Markov Controls and Characterization of Optimal Markov Controls 1983On the Hamilton-Jacobi-Bellman equations 1990Time-Average Control of Martingale Problems: Existence of a Stationary Solution 1998Existence of stochastic control under state constraints

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Year2010

Typearticle

Published2010-10-14

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-010-9120-y

openalex_workW2039953262

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