A note on the strong formulation of stochastic control problems with model uncertainty

DOI10.1214/ECP.v19-3436zbMath1325.49025arXiv1402.4415OpenAlexW2005746928MaRDI QIDQ2514472

Mihai Sîrbu

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/1402.4415

zbMATH Keywords

stochastic gamesmodel uncertaintyviscosity solutionsstochastic control problemsstochastic Perron's methodelementary feedback strategiestwo-step optimization problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) 2-person games (91A05) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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