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A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems

Dan Goreac 1 Oana-Silvia Serea 2
1 PS
LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
Abstract : Using the linear programming approach to stochastic control introduced in [6] and [10], we provide a semigroup property for some set of probability measures leading to dynamic programming principles for stochastic control problems. An abstract principle is provided for general bounded costs. Linearized versions are obtained under further (semi)continuity assumptions.
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https://hal-upec-upem.archives-ouvertes.fr/hal-00692652
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Submitted on : Tuesday, May 1, 2012 - 11:37:10 AM
Last modification on : Thursday, March 19, 2020 - 12:26:03 PM

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Dan Goreac, Oana-Silvia Serea. A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2012, 17 (?), ⟨10.1214/ECP.v17-1844⟩. ⟨hal-00692652⟩

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