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

Rafael Serrano

doi:10.1016/j.sysconle.2015.08.008

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

Rafael Serrano

Faculty of Economics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	33-36
Number of pages	4
Journal	Systems and Control Letters
Volume	85
DOIs	https://doi.org/10.1016/j.sysconle.2015.08.008
State	Published - Nov 1 2015

All Science Journal Classification (ASJC) codes

Control and Systems Engineering
Computer Science(all)
Mechanical Engineering
Electrical and Electronic Engineering

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10.1016/j.sysconle.2015.08.008

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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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SP - 33

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JO - Systems and Control Letters

JF - Systems and Control Letters

ER -

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

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