TY - JOUR
T1 - On the LP formulation in measure spaces of optimal control problems for jump-diffusions
AU - Serrano, Rafael
N1 - Publisher Copyright:
© 2015 Elsevier B.V. All rights reserved.
Copyright:
Copyright 2015 Elsevier B.V., All rights reserved.
PY - 2015/11/1
Y1 - 2015/11/1
N2 - 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.
AB - 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.
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U2 - 10.1016/j.sysconle.2015.08.008
DO - 10.1016/j.sysconle.2015.08.008
M3 - Article
AN - SCOPUS:84944104848
VL - 85
SP - 33
EP - 36
JO - Systems and Control Letters
JF - Systems and Control Letters
SN - 0167-6911
ER -