Optimal control of diffusions: A verification theorem for viscosity solutions

DOI10.1016/0167-6911(96)00027-8MaRDI QIDQ1350948zbMATH OpenOpenAlexFDO

Authors Michael Kohlmann, Peter Renner

Publication date 27 February 1997

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(96)00027-8

zbMATH Keywords

dynamic programmingmaximum principleoptimal stochastic controlviscosity solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 29129 (Why is no real title available?)
• Asymptotic expansions for Markov processes with Lévy generators
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• The connection between the maximum principle and dynamic programming in stochastic control
• The second order minimum principle and adjoint process

Cited in

(7)

• Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
• A verification theorem for optimal control of fully coupled forward-backward stochastic differential equations within the framework of viscosity solutions
• A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
• scientific article; zbMATH DE number 1958586 (Why is no real title available?)
• Verification theorem and construction of \(\epsilon \)-optimal controls for control of abstract evolution equations
• scientific article; zbMATH DE number 140438 (Why is no real title available?)
• Stochastic verification theorem of forward-backward controlled systems for viscosity solutions

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