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

DOI10.1137/S0363012903428184zbMath1116.93053OpenAlexW4238868947MaRDI QIDQ5317105

No author found.

Publication date: 15 September 2005

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

Full work available at URL: https://doi.org/10.1137/s0363012903428184

zbMATH Keywords

viscosity solutionstochastic optimal controlHJB equationLebesgue pointverification 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) Optimality conditions for problems involving randomness (49K45)

Related Items (11)

Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula ⋮ Robust experimentation in the continuous time bandit problem ⋮ Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition ⋮ Weak Dirichlet processes with a stochastic control perspective ⋮ 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 ⋮ Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions ⋮ A coupled system of integrodifferential equations arising in liquidity risk model ⋮ Optimal investment models with vintage capital: dynamic programming approach ⋮ Dynamic Programming Viscosity Solution Approach and Its Applications to Optimal Control Problems

This page was built for publication: A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions