Weak dynamic programming principle for viscosity solutions

Bruno Bouchard, Nizar Touzi

Research output: Contribution to journalArticlepeer-review

Abstract

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-made for the derivation of the dynamic programming equation in the sense of viscosity solutions.

Original languageEnglish (US)
Pages (from-to)948-962
Number of pages15
JournalSIAM Journal on Control and Optimization
Volume49
Issue number3
DOIs
StatePublished - 2011

Keywords

  • Discontinuous viscosity solutions
  • Dynamic programming
  • Optimal control

ASJC Scopus subject areas

  • Control and Optimization
  • Applied Mathematics

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