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

Keyphrases

• Jump Diffusion 100%
• Measure Space 100%
• Optimal Control Problem 100%
• Viscosity Solutions 50%
• Levy 50%
• Strongly Connected 50%
• Infinite Horizon 50%
• Regularization Method 50%
• Stochastic Optimal Control Problems 50%
• Partial Integro-differential Equation 50%
• LP Problem 50%
• Hamilton-Jacobi-Bellman 50%
• Krylov 50%
• Dual Formulation 50%
• Primal Problem 50%
• Optimal Value Function 50%
• Subsolution 50%

Mathematics

• Optimal Control Problem 100%
• Measure Space 100%
• Stochastics 33%
• Viscosity Solution 33%
• Integro-Partial Differential Equation 33%
• Regularization 33%
• Function Value 33%
• Primal Problem 33%