A note on linearization techniques via occupational measures for deterministic and stochastic control

Dan Goreac 1 Oana Silvia Serea 2
1 PS
LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
Abstract : We present linearization techniques for the Mayer stochastic control problem and the L∞-control problem. These techniques proved to be very useful in dealing with deterministic and stochastic control problems.
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Submitted on : Tuesday, July 16, 2013 - 9:09:27 AM
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  • HAL Id : hal-00844826, version 1

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Dan Goreac, Oana Silvia Serea. A note on linearization techniques via occupational measures for deterministic and stochastic control. Colloque Fédération Normandie- Mathématiques Edp-Normandie. Le Havre 2012, 2012, France. pp.133-142. ⟨hal-00844826⟩

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