Optimal control of diffusions: A verification theorem for viscosity solutions

DOI10.1016/0167-6911(96)00027-8zbMath0883.93060OpenAlexW2009166634MaRDI QIDQ1350948

Michael Kohlmann, Peter Renner

Publication date: 27 February 1997

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(96)00027-8

zbMATH Keywords

maximum principledynamic programmingviscosity solutionoptimal stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items

Stochastic verification theorem of forward-backward controlled systems for viscosity solutions

Cites Work

• Asymptotic expansions for Markov processes with Lévy generators
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• The connection between the maximum principle and dynamic programming in stochastic control
• The second order minimum principle and adjoint process
• Unnamed Item

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