A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems - Archive ouverte HAL Access content directly
Journal Articles Electronic Communications in Probability Year : 2012

A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems

Abstract

Using the linear programming approach to stochastic control introduced in [6] and [10], 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.

Dates and versions

hal-00692652 , version 1 (01-05-2012)

Identifiers

Cite

Dan Goreac, Oana-Silvia Serea. A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems. Electronic Communications in Probability, 2012, 17 (?), ⟨10.1214/ECP.v17-1844⟩. ⟨hal-00692652⟩
109 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More