Stochastic Perron's method for optimal control problems with state constraints

DOI10.1214/ECP.v19-3616zbMath1310.93085arXiv1405.4252OpenAlexW1972434283MaRDI QIDQ2514463

Dmitry B. Rokhlin

Publication date: 3 February 2015

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.4252

zbMATH Keywords

state constraintsviscosity solutioncomparison resultstochastic Perron's method

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Stochastic Perron for stochastic target games ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ Distribution‐constrained optimal stopping ⋮ Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions ⋮ On the controller-stopper problems with controlled jumps

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