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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Detalles Bibliográficos
Autor Principal: Serrano, Rafael
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Elsevier 2015
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23362