Article ID Journal Published Year Pages File Type
752000 Systems & Control Letters 2015 4 Pages PDF
Abstract

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 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.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
Authors
,