Weak Dynamic Programming Principle for Viscosity Solutions

Abstract. We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical difficulties related to the measurable selection argument. In the Markov case, our result is tailor-made for the derivation of the dynamic programming equation in the sense of viscosity solutions. Key words. optimal control, dynamic programming, discontinuous viscosity solutions AMS subject classifications. Primary, 49L25, 60J60; Secondary, 49L20, 35K55 DOI. 10.1137/090752328

• Type: Journal
• Year: 2011
• Where: SIAMCO
• Authors: Bruno Bouchard, Nizar Touzi
• Keywords: Dynamic Programming Principle, Formal Methods, SIAMCO 2011, Stochastic Control Problems, Viscosity Solutions