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.
All Science Journal Classification (ASJC) codes
- Control and Systems Engineering
- Computer Science(all)
- Mechanical Engineering
- Electrical and Electronic Engineering