Weak Dynamic Programming Principle for Viscosity Solutions
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- SIAM J. Control and Optimization
دوره 49 شماره
صفحات -
تاریخ انتشار 2011