Stochastic Verification Theorems within the Framework of Viscosity Solutions

DOI10.1137/S0363012995279973zbMath0880.93059OpenAlexW2093042525MaRDI QIDQ3128457

Xunjing Li, Jiong-min Yong, Xun Yu Zhou

Publication date: 2 February 1998

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

Full work available at URL: https://doi.org/10.1137/s0363012995279973

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionverification theoremsuperdifferentialoptimal control of diffusion processes

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)

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