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Article Dans Une Revue Electronic Communications in Probability Année : 2012

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

Résumé

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 et versions

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

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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⟩
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