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math.PR2017
Convergence of Finite Element Methods for Singular Stochastic Control
Martin G. Vieten, Richard H. Stockbridge
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the s…
math.PR2017★ 3 cited
Linear Programming Formulations of Singular Stochastic Control Problems: Time-Homogeneous Problems
Thomas G. Kurtz, Richard H. Stockbridge
Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear prog…