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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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https://hal.archives-ouvertes.fr/hal-00367355
Contributor : Bruno Bouchard <>
Submitted on : Wednesday, March 11, 2009 - 9:49:17 AM
Last modification on : Thursday, February 13, 2020 - 2:02:10 PM
Document(s) archivé(s) le : Friday, October 12, 2012 - 1:25:17 PM

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  • HAL Id : hal-00367355, version 1

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Bruno Bouchard, Nizar Touzi. Weak Dynamic Programming Principle for Viscosity Solutions. 2009. ⟨hal-00367355v1⟩

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