Weak Dynamic Programming Principle for Viscosity Solutions
نویسندگان
چکیده
منابع مشابه
Weak Dynamic Programming Principle for Viscosity Solutions
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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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2011
ISSN: 0363-0129,1095-7138
DOI: 10.1137/090752328