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


 
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1. Title Title of document A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems
 
2. Creator Author's name, affiliation, country Dan Goreac; Université Paris-Est Marne-la-Vallée; France
 
2. Creator Author's name, affiliation, country Oana Silvia Serea; Université de Perpignan; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) occupational measures; stochastic control; dynamic programming principles
 
3. Subject Subject classification 93E20; 49L20; 49L25
 
4. Description Abstract Using the linear programming approach to stochastic control introduced by Buckdahn, Goreac, and Quincampoix, and by Goreac and Serea, 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-02-27
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1844
 
10. Identifier Digital Object Identifier 10.1214/ECP.v17-1844
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 17
 
12. Language English=en en
 
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