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Weak Dynamic Programming Principle for Viscosity Solutions

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Date
2009
Dewey
Probabilités et mathématiques appliquées
Sujet
Stochastic Target
Conference name
Istanbul Workshop on Mathematical Finance
Conference city
Istanbul
Conference country
TURKEY
URI
https://basepub.dauphine.fr/handle/123456789/3500
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  • CEREMADE : Publications
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Author
Bouchard, Bruno
Type
Communication / Conférence
Abstract (EN)
We prove a weak version of the dynamic programming principle for standard stochastic control problemsand mixed control-stopping problems, which avoids the technical difficulties related to the measurableselection argument. In the Markov case, our result is tailor-maid for the derivation of the dynamicprogramming equation in the sense of viscosity solutions.

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