caa a22 4500 445842350 CHVBK 20180317145348.0 cr unu---uuuuu 170323e20110401xx s 000 0 eng 10.1007/s00245-010-9120-y doi (NATIONALLICENCE)springer-10.1007/s00245-010-9120-y Stochastic Optimal Control and Linear Programming Approach [Elektronische Daten] [R. Buckdahn, D. Goreac, M. Quincampoix] We study a classical stochastic optimal control problem with constraints and discounted payoff in an infinite horizon setting. The main result of the present paper lies in the fact that this optimal control problem is shown to have the same value as a linear optimization problem stated on some appropriate space of probability measures. This enables one to derive a dual formulation that appears to be strongly connected to the notion of (viscosity sub) solution to a suitable Hamilton-Jacobi-Bellman equation. We also discuss relation with long-time average problems. Springer Science+Business Media, LLC, 2010 Linear programming nationallicence Stochastic control under constraints nationallicence Occupational measures nationallicence Viscosity solutions nationallicence Long-time averaging nationallicence Buckdahn R. Laboratoire de Mathématiques, unité CNRS 6205, Université de Bretagne Occidentale, 6 Avenue Victor le Gorgeu, 29200, Brest, France aut Goreac D. Université Paris-Est Marne-la-Vallée, Laboratoire d'Analyse et de Mathématiques Appliquées, UMR 8050, 5, boulevard Descartes, Cité Descartes—Champs-sur-Marne, 77454, Marne-la-Vallée cedex 2, France aut Quincampoix M. Laboratoire de Mathématiques, unité CNRS 6205, Université de Bretagne Occidentale, 6 Avenue Victor le Gorgeu, 29200, Brest, France aut Applied Mathematics & Optimization Springer-Verlag 63/2(2011-04-01), 257-276 0095-4616 63:2<257 2011 63 245 https://doi.org/10.1007/s00245-010-9120-y text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00245-010-9120-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Buckdahn R. Laboratoire de Mathématiques, unité CNRS 6205, Université de Bretagne Occidentale, 6 Avenue Victor le Gorgeu, 29200, Brest, France aut NATIONALLICENCE 700 1- Goreac D. Université Paris-Est Marne-la-Vallée, Laboratoire d'Analyse et de Mathématiques Appliquées, UMR 8050, 5, boulevard Descartes, Cité Descartes—Champs-sur-Marne, 77454, Marne-la-Vallée cedex 2, France aut NATIONALLICENCE 700 1- Quincampoix M. Laboratoire de Mathématiques, unité CNRS 6205, Université de Bretagne Occidentale, 6 Avenue Victor le Gorgeu, 29200, Brest, France aut NATIONALLICENCE 773 0- Applied Mathematics & Optimization Springer-Verlag 63/2(2011-04-01), 257-276 0095-4616 63:2<257 2011 63 245 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer