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January, 1990 Time-Average Control of Martingale Problems: A Linear Programming Formulation
Richard H. Stockbridge
Ann. Probab. 18(1): 206-217 (January, 1990). DOI: 10.1214/aop/1176990945

Abstract

This paper studies the average cost for controlled systems given as solutions of the martingale problem for their generator. The control problem is reformulated as a linear programming problem and conditions are given for the existence of an optimal solution. It is further shown that the optimal control can be taken to depend only on the history of the system and that this cost remains optimal for systems with different initial distributions.

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Richard H. Stockbridge. "Time-Average Control of Martingale Problems: A Linear Programming Formulation." Ann. Probab. 18 (1) 206 - 217, January, 1990. https://doi.org/10.1214/aop/1176990945

Information

Published: January, 1990
First available in Project Euclid: 19 April 2007

zbMATH: 0699.49019
MathSciNet: MR1043944
Digital Object Identifier: 10.1214/aop/1176990945

Subjects:
Primary: 49A60
Secondary: 93E20

Keywords: Average cost , linear programming , Martingale problems

Rights: Copyright © 1990 Institute of Mathematical Statistics

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Vol.18 • No. 1 • January, 1990
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