Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions"

DOI10.1137/090775567zbMath1202.93171OpenAlexW1969842622MaRDI QIDQ3058500

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Publication date: 3 December 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090775567

zbMATH Keywords

viscosity solutionstochastic optimal controlHJB equationverification theoremsuperdifferential

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (7)

Robust experimentation in the continuous time bandit problem ⋮ Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case ⋮ Stochastic verification theorem of forward-backward controlled systems for viscosity solutions ⋮ Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ An HJB approach to a general continuous-time mean-variance stochastic control problem ⋮ Investment strategies and compensation of a mean-variance optimizing fund manager

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