Weak dynamic programming principle for viscosity solutions

SIAM Journal on Control and Optimization

Volumn 49, Issue 3, 2011, Pages 948-962

  Bouchard, Bruno ^a   Touzi, Nizar ^b  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Discontinuous viscosity solutions; Dynamic programming; Optimal control

Indexed keywords

STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS; VISCOSITY;

DISCONTINUOUS VISCOSITY SOLUTIONS; DYNAMIC PROGRAMMING EQUATIONS; DYNAMIC PROGRAMMING PRINCIPLE; MEASURABLE SELECTIONS; OPTIMAL CONTROLS; STOCHASTIC CONTROL; TECHNICAL DIFFICULTIES; VISCOSITY SOLUTIONS;

DYNAMIC PROGRAMMING;

EID: 79960347909     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/090752328     Document Type: Article

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