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Weak Dynamic Programming Principle for Viscosity Solutions

Bouchard, Bruno (2009), Weak Dynamic Programming Principle for Viscosity Solutions, Istanbul Workshop on Mathematical Finance, Istanbul, TURKEY

Type
Communication / Conférence
Date
2009
Conference title
Istanbul Workshop on Mathematical Finance
Conference city
Istanbul
Conference country
TURKEY
Metadata
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Author(s)
Bouchard, Bruno
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.
Subjects / Keywords
Stochastic Target