Weak Dynamic Programming Principle for Viscosity Solutions - Centre de mathématiques appliquées (CMAP)
Pré-Publication, Document De Travail Année : 2009

Weak Dynamic Programming Principle for Viscosity Solutions

Résumé

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.
Fichier principal
Vignette du fichier
BT09.pdf (198.15 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et 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)

Identifiants

  • HAL Id : hal-00367355 , version 2

Citer

Bruno Bouchard, Nizar Touzi. Weak Dynamic Programming Principle for Viscosity Solutions. 2009. ⟨hal-00367355v2⟩
547 Consultations
474 Téléchargements

Partager

More