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

Dan Goreac (1) , Oana Silvia Serea (2)

1 PS
2 LAMPS - LAboratoire de Modélisation Pluridisciplinaire et Simulations

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.

Mots clés: Deterministic and stochastic control problems F; linerazation techniques; occupational measures

Domaines: Optimisation et contrôle [math.OC]; Equations aux dérivées partielles [math.AP]; Probabilités [math.PR]

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⟩