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Weak Dynamic Programming Principle for Viscosity Solutions
Abstract : We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical difficulties related to the measurable selection argument. In the Markov case, our result is tailor-maid for the derivation of the dynamic programming equation in the sense of viscosity solutions.
Cited literature [13 references]
https://hal.archives-ouvertes.fr/hal-00367355
Contributor : Bruno Bouchard Connect in order to contact the contributor
Submitted on : Tuesday, July 12, 2011 - 5:44:08 PM
Last modification on : Tuesday, January 18, 2022 - 3:24:20 PM
Long-term archiving on: : Sunday, December 4, 2016 - 5:34:37 AM
Contributor : Bruno Bouchard Connect in order to contact the contributor
Submitted on : Tuesday, July 12, 2011 - 5:44:08 PM
Last modification on : Tuesday, January 18, 2022 - 3:24:20 PM
Long-term archiving on: : Sunday, December 4, 2016 - 5:34:37 AM
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BT09_version_finale_SIAM_.pdf
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