Verification by stochastic Perron's method in stochastic exit time control problems

DOI10.1016/J.JMAA.2014.04.062zbMath1297.35209arXiv1310.8411OpenAlexW2963548356MaRDI QIDQ2252480

Dmitry B. Rokhlin

Publication date: 17 July 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.8411

zbMATH Keywords

verificationviscosity solutionstochastic optimal controlcomparison resultexit time

Mathematics Subject Classification ID

KdV equations (Korteweg-de Vries equations) (35Q53) Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60) Hamilton-Jacobi equations (35F21)

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Stochastic Perron for stochastic target games ⋮ Regular finite fuel stochastic control problems with exit time ⋮ Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators ⋮ Martingale Optimal Transport with Stopping ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance ⋮ Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions ⋮ On the controller-stopper problems with controlled jumps

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