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dc.contributor.authorBouchard, Bruno
dc.contributor.authorTouzi, Nizar
dc.date.accessioned2009-09-25T11:41:57Z
dc.date.available2009-09-25T11:41:57Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1952
dc.language.isoenen
dc.subjectdiscontinuous viscosity solutionsen
dc.subjectdynamic programming
dc.subjectoptimal control
dc.subject.ddc519en
dc.titleWeak Dynamic Programming Principle for Viscosity Solutionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol49
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2011
dc.relation.isversionofdoihttp://dx.doi.org/10.1137/090752328
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00367355/en/
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSIAMen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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