Duality theory, representation formulas and uniqueness results for viscosity solutions of hamilton-jacobi equations

Springer Proceedings in Mathematics

Volumn 2, Issue , 2011, Pages 361-386

  Gomes, Diogo A ^a   Valdinoci, Enrico ^b  

^a INSTITUTO SUPERIOR TÉCNICO   (Portugal)

^b UNIVERSITY OF ROME TOR VERGATA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

DISCOUNTED COSTS; DUALITY THEORY; HAMILTON JACOBI EQUATIONS; INFINITE HORIZON PROBLEMS; RELAXED CONTROL; TERMINAL VALUE PROBLEMS; VARIATIONAL PROBLEMS; VISCOSITY SOLUTIONS;

VISCOSITY;

EID: 84904119962     PISSN: 21905614     EISSN: 21905622     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-642-14788-3_28     Document Type: Review

References (9)

1. Attouch, H.: Variational convergence for functions and operators. Applicable Mathematics Series. Pitman (Advanced Publishing Program), Boston, MA (1984)
2. Bardi, M., Capuzzo-Dolcetta, I.: Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations. Birkḧauser Boston Inc., Boston, MA (1997). With appendices by Maurizio Falcone and Pierpaolo Soravia
3. Crandall, M.G., Ishii, H., Lions, P.-L.: User's guide to viscosity solutions of second order partial differential equations. Bull. Am. Math. Soc. (N.S.) 27(1), 1-67 (1992)
4. Cho, M.J., Stockbridge, R.H.: Linear programming formulation for optimal stopping problems. SIAM J. Control Optim. 40 (6), 1965-1982 (electronic) (2002)
5. Fleming, W.H., Soner, H.M.: Controlled Markov Processes and Viscosity Solutions. Springer, New York (1993)
6. Fleming, W.H., Vermes, D.: Convex duality approach to the optimal control of diffusions. SIAM J. Control Optim. 27(5), 1136-1155 (1989)
7. Helmes, K., Stockbridge, R.H.: Linear programming approach to the optimal stopping of singular stochastic processes. Stochastics 79(3-4), 309-335 (2007)
8. Stockbridge, R.H.: Characterizing option prices by linear programs. In: Mathematics of Finance, volume 351 of Contemp. Math., pp. 349-359. AMS, Providence, RI (2004)
9. Villani, C.: Topics in optimal transportation, volume 58 of Graduate Studies in Mathematics. AMS, Providence, RI (2003)