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Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition

Abstract : This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in time and once differentiable in the space variable ($C^{0,1}$) instead of once differentiable in time and twice in space ($C^{1,2}$), like in the classical results. The results are obtained using a time dependent Fukushima - Dirichlet decomposition proved in a companion paper by the same authors using stochastic calculus via regularization. Applications, examples and comparison with other similar results are also given.
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https://hal.archives-ouvertes.fr/hal-00022840
Contributor : Francesco Russo Connect in order to contact the contributor
Submitted on : Thursday, April 13, 2006 - 11:31:22 PM
Last modification on : Wednesday, October 27, 2021 - 2:11:57 PM
Long-term archiving on: : Saturday, April 3, 2010 - 10:17:55 PM

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Fausto Gozzi, Francesco Russo. Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition. 2006. ⟨hal-00022840⟩

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