A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
DOI10.1137/S0363012903428184zbMath1116.93053OpenAlexW4238868947MaRDI QIDQ5317105
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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
viscosity solutionstochastic optimal controlHJB equationLebesgue pointverification theoremsuperdifferential
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)
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