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IMA Journal of Mathematical Control and Information 1989 6(1):21-26; doi:10.1093/imamci/6.1.21
© 1989 by Institute of Mathematics and its Applications
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Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems

MIN SUN

Department of Applied Mathematical Sciences, University of Houston–Downtown Houston, TX 77002, U.S.A.

Some analytic aspects of the linear programming approach to the numerical solution of singular stochastic control problems are examined in this article. We show the unique solvability of two linear programming problems related to discretized HJB equations associated with singular stochastic control problems in bounded intervals.


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