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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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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repository_id_str
spelling 800853686002020-05-26T00:01:24Z2020-05-26T00:01:24Z2015In 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 is strongly connected to the notion of sub-solution of the partial integro-differential equation of Hamilton-Jacobi-Bellman type associated with the optimal control problem, and the Krylov regularization method for viscosity solutions. © 2015 Elsevier B.V. All rights reserved.application/pdfhttps://doi.org/10.1016/j.sysconle.2015.08.0081676911https://repository.urosario.edu.co/handle/10336/23362engElsevier3633Systems and Control LettersVol. 85Systems and Control Letters, ISSN:1676911, Vol.85,(2015); pp. 33-36https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944104848&doi=10.1016%2fj.sysconle.2015.08.008&partnerID=40&md5=0beb1dee293c38b3a194dc19bff1d2f5Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURDifferential equationsDiffusionIntegrodifferential equationsLinear programmingOptimal control systemsStochastic systemsViscosityDual formulationsJump diffusionOccupation measureStochastic controlViscosity solutionsStochastic control systemsDual formulationJump-diffusionLinear programmingOccupation measureStochastic controlViscosity solutionOn the LP formulation in measure spaces of optimal control problems for jump-diffusionsarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Serrano Perdomo, Rafael AntonioORIGINAL1-s2-0-S0167691115001759-main.pdfapplication/pdf376226https://repository.urosario.edu.co/bitstreams/ebbb0d04-ff00-410b-a8d8-af76258edade/download66bff1dbcae527179afb9520b189f162MD51TEXT1-s2-0-S0167691115001759-main.pdf.txt1-s2-0-S0167691115001759-main.pdf.txtExtracted texttext/plain21185https://repository.urosario.edu.co/bitstreams/52d4f790-5eb7-410e-8ebc-3444d5a90555/download1a7406650c7ce7ad72ee080281b3ef28MD52THUMBNAIL1-s2-0-S0167691115001759-main.pdf.jpg1-s2-0-S0167691115001759-main.pdf.jpgGenerated Thumbnailimage/jpeg4767https://repository.urosario.edu.co/bitstreams/d1137cb7-06b5-4d14-97b1-0a077e20b8fb/download9503945dedf129d0d81731c4f58f2ed4MD5310336/23362oai:repository.urosario.edu.co:10336/233622021-06-10 23:25:33.47https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title On the LP formulation in measure spaces of optimal control problems for jump-diffusions
spellingShingle On the LP formulation in measure spaces of optimal control problems for jump-diffusions
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
title_short On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_full On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_fullStr On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_full_unstemmed On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_sort On the LP formulation in measure spaces of optimal control problems for jump-diffusions
dc.subject.keyword.spa.fl_str_mv 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
topic 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
description 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 is strongly connected to the notion of sub-solution of the partial integro-differential equation of Hamilton-Jacobi-Bellman type associated with the optimal control problem, and the Krylov regularization method for viscosity solutions. © 2015 Elsevier B.V. All rights reserved.
publishDate 2015
dc.date.created.spa.fl_str_mv 2015
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:01:24Z
dc.date.available.none.fl_str_mv 2020-05-26T00:01:24Z
dc.type.eng.fl_str_mv article
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dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.sysconle.2015.08.008
dc.identifier.issn.none.fl_str_mv 1676911
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23362
url https://doi.org/10.1016/j.sysconle.2015.08.008
https://repository.urosario.edu.co/handle/10336/23362
identifier_str_mv 1676911
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 36
dc.relation.citationStartPage.none.fl_str_mv 33
dc.relation.citationTitle.none.fl_str_mv Systems and Control Letters
dc.relation.citationVolume.none.fl_str_mv Vol. 85
dc.relation.ispartof.spa.fl_str_mv Systems and Control Letters, ISSN:1676911, Vol.85,(2015); pp. 33-36
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944104848&doi=10.1016%2fj.sysconle.2015.08.008&partnerID=40&md5=0beb1dee293c38b3a194dc19bff1d2f5
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dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
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dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Elsevier
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
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