On the LP formulation in measure spaces of optimal control problems for jump-diffusions

In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main tools are the dual formulation of the LP primal problem, which...

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Autor Principal: Serrano, Rafael
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Elsevier 2015
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23362
https://doi.org/10.1016/j.sysconle.2015.08.008
id ir-10336-23362
recordtype dspace
spelling ir-10336-233622021-06-11T04:25:33Z On the LP formulation in measure spaces of optimal control problems for jump-diffusions Serrano, Rafael Differential equations Diffusion Integrodifferential equations Linear programming Optimal control systems Stochastic systems Viscosity Dual formulations Jump diffusion Occupation measure Stochastic control Viscosity solutions Stochastic control systems Dual formulation Jump-diffusion Linear programming Occupation measure Stochastic control Viscosity solution In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main tools are the dual formulation of the LP primal problem, which is strongly connected to the notion of sub-solution of the partial integro-differential equation of Hamilton-Jacobi-Bellman type associated with the optimal control problem, and the Krylov regularization method for viscosity solutions. © 2015 Elsevier B.V. All rights reserved. 2015 2020-05-26T00:01:24Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 1676911 https://repository.urosario.edu.co/handle/10336/23362 https://doi.org/10.1016/j.sysconle.2015.08.008 eng info:eu-repo/semantics/openAccess application/pdf Elsevier instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Differential equations
Diffusion
Integrodifferential equations
Linear programming
Optimal control systems
Stochastic systems
Viscosity
Dual formulations
Jump diffusion
Occupation measure
Stochastic control
Viscosity solutions
Stochastic control systems
Dual formulation
Jump-diffusion
Linear programming
Occupation measure
Stochastic control
Viscosity solution
spellingShingle Differential equations
Diffusion
Integrodifferential equations
Linear programming
Optimal control systems
Stochastic systems
Viscosity
Dual formulations
Jump diffusion
Occupation measure
Stochastic control
Viscosity solutions
Stochastic control systems
Dual formulation
Jump-diffusion
Linear programming
Occupation measure
Stochastic control
Viscosity solution
Serrano, Rafael
On the LP formulation in measure spaces of optimal control problems for jump-diffusions
description In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main tools are the dual formulation of the LP primal problem, which is strongly connected to the notion of sub-solution of the partial integro-differential equation of Hamilton-Jacobi-Bellman type associated with the optimal control problem, and the Krylov regularization method for viscosity solutions. © 2015 Elsevier B.V. All rights reserved.
format Artículo (Article)
author Serrano, Rafael
author_facet Serrano, Rafael
author_sort Serrano, Rafael
title On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_short On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_full On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_fullStr On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_full_unstemmed On the LP formulation in measure spaces of optimal control problems for jump-diffusions
title_sort on the lp formulation in measure spaces of optimal control problems for jump-diffusions
publisher Elsevier
publishDate 2015
url https://repository.urosario.edu.co/handle/10336/23362
https://doi.org/10.1016/j.sysconle.2015.08.008
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score 12,131701