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Journal Articles SIAM Journal on Control and Optimization Year : 2011

Weak Dynamic Programming Principle for Viscosity Solutions

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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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Dates and versions

hal-00367355 , version 1 (11-03-2009)
hal-00367355 , version 2 (09-06-2009)
hal-00367355 , version 3 (07-02-2011)
hal-00367355 , version 4 (12-07-2011)

Identifiers

  • HAL Id : hal-00367355 , version 4

Cite

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