On the LP formulation in measure spaces of optimal control problems for jump-diffusions

In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main tools are the dual formulation of the LP primal problem, which...

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Tipo de recurso:

Fecha de publicación:

2015

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/23362

Acceso en línea:

https://doi.org/10.1016/j.sysconle.2015.08.008
https://repository.urosario.edu.co/handle/10336/23362

Palabra clave:

Differential equations
Diffusion
Integrodifferential equations
Linear programming
Optimal control systems
Stochastic systems
Viscosity
Dual formulations
Jump diffusion
Occupation measure
Stochastic control
Viscosity solutions
Stochastic control systems
Dual formulation
Jump-diffusion
Linear programming
Occupation measure
Stochastic control
Viscosity solution

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