Ítem
Acceso Abierto

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

Mostrar el registro sencillo de la publicación
dc.creatorSerrano Perdomo, Rafael Antonio
dc.date.accessioned2020-05-26T00:01:24Z
dc.date.available2020-05-26T00:01:24Z
dc.date.created2015spa
dc.description.abstractIn 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.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1016/j.sysconle.2015.08.008
dc.identifier.issn1676911
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/23362
dc.language.isoengspa
dc.publisherElsevierspa
dc.relation.citationEndPage36
dc.relation.citationStartPage33
dc.relation.citationTitleSystems and Control Letters
dc.relation.citationVolumeVol. 85
dc.relation.ispartofSystems and Control Letters, ISSN:1676911, Vol.85,(2015); pp. 33-36spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84944104848&doi=10.1016%2fj.sysconle.2015.08.008&partnerID=40&md5=0beb1dee293c38b3a194dc19bff1d2f5spa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordDifferential equationsspa
dc.subject.keywordDiffusionspa
dc.subject.keywordIntegrodifferential equationsspa
dc.subject.keywordLinear programmingspa
dc.subject.keywordOptimal control systemsspa
dc.subject.keywordStochastic systemsspa
dc.subject.keywordViscosityspa
dc.subject.keywordDual formulationsspa
dc.subject.keywordJump diffusionspa
dc.subject.keywordOccupation measurespa
dc.subject.keywordStochastic controlspa
dc.subject.keywordViscosity solutionsspa
dc.subject.keywordStochastic control systemsspa
dc.subject.keywordDual formulationspa
dc.subject.keywordJump-diffusionspa
dc.subject.keywordLinear programmingspa
dc.subject.keywordOccupation measurespa
dc.subject.keywordStochastic controlspa
dc.subject.keywordViscosity solutionspa
dc.titleOn the LP formulation in measure spaces of optimal control problems for jump-diffusionsspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
Archivos
Bloque original
Mostrando1 - 1 de 1
Miniatura
Nombre:
1-s2-0-S0167691115001759-main.pdf
Tamaño:
367.41 KB
Formato:
Adobe Portable Document Format
Descripción:
Descargar
Colecciones
Artículos