A framework for the dynamic programming principle and martingale-generated control correspondences

DOI10.1007/S00245-019-09589-8MaRDI QIDQ2041004zbMATH OpenOpenAlexWikidataFDO

Authors Roman Fayvisovich, Gordan Žitković

Publication date 15 July 2021

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.10218

zbMATH Keywords

control correspondencesdynamic programming principlemartingale problemoptimal stochastic controlsingular control

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Dynamic programming (90C39) Optimal stochastic control (93E20)

Abstract: We construct an abstract framework in which the dynamic programming principle (DPP) can be readily proven. It encompasses a broad range of common stochastic control problems in the weak formulation, and deals with problems in the "martingale formulation" with particular ease. We give two illustrations; first, we establish the DPP for general controlled diffusions and show that their value functions are viscosity solutions of the associated Hamilton-Jacobi-Bellman equations under minimal conditions. After that, we show how to treat singular control on the example of the classical monotone-follower problem.

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Cited in

(7)

• Dynamic programming principle for classical and singular stochastic control with discretionary stopping
• Weak dynamic programming principle for viscosity solutions
• Dynamic programming for controlled Markov families: abstractly and over martingale measures
• scientific article; zbMATH DE number 3865127 (Why is no real title available?)
• Stochastic Control Theory
• Dynamic Programming Principles for Mean-Field Controls with Learning
• On the dynamic programming principle for controlled diffusion processes in a cylindrical region

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