Stochastic Perron for stochastic target problems

DOI10.1007/s10957-016-0958-2zbMath1346.93394arXiv1604.03906OpenAlexW2338818564MaRDI QIDQ328468

Erhan Bayraktar, Jiaqi Li

Publication date: 20 October 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03906

zbMATH Keywords

unbounded controlsviscosity solutionsjump diffusion processesstochastic Perron's methodstochastic target problems

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Martingales and classical analysis (60G46)

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Cites Work

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