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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.
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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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  • HAL Id : hal-00367355, version 4


Bruno Bouchard, Nizar Touzi. Weak Dynamic Programming Principle for Viscosity Solutions. SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2011, 49 (3), pp.948-962. ⟨hal-00367355v4⟩



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