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 / ConférenceDate
2009Conference title
Istanbul Workshop on Mathematical FinanceConference city
IstanbulConference country
TURKEYMetadata
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Bouchard, BrunoAbstract (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 TargetRelated items
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