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2012 A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems
Dan Goreac, Oana Silvia Serea
Author Affiliations +
Electron. Commun. Probab. 17: 1-12 (2012). DOI: 10.1214/ECP.v17-1844

Abstract

Using the linear programming approach to stochastic control introduced by Buckdahn, Goreac, and Quincampoix, and by Goreac and Serea, 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.

Citation

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Dan Goreac. Oana Silvia Serea. "A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems." Electron. Commun. Probab. 17 1 - 12, 2012. https://doi.org/10.1214/ECP.v17-1844

Information

Accepted: 27 February 2012; Published: 2012
First available in Project Euclid: 7 June 2016

zbMATH: 1245.93144
MathSciNet: MR2892411
Digital Object Identifier: 10.1214/ECP.v17-1844

Subjects:
Primary: 93E20
Secondary: 49L20, 49L25

JOURNAL ARTICLE
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