Stochastic Verification Theorems within the Framework of Viscosity Solutions
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Publication:3128457
DOI10.1137/S0363012995279973zbMath0880.93059MaRDI 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
Hamilton-Jacobi-Bellman equation; viscosity solution; verification theorem; superdifferential; optimal control of diffusion processes
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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