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 language | English (US) |
---|---|
Pages (from-to) | 948-962 |
Number of pages | 15 |
Journal | SIAM Journal on Control and Optimization |
Volume | 49 |
Issue number | 3 |
DOIs | |
State | Published - 2011 |
Keywords
- Discontinuous viscosity solutions
- Dynamic programming
- Optimal control
ASJC Scopus subject areas
- Control and Optimization
- Applied Mathematics