A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
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Publication:5317105
DOI10.1137/S0363012903428184zbMath1116.93053MaRDI QIDQ5317105
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Publication date: 15 September 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
viscosity solution; stochastic optimal control; HJB equation; Lebesgue point; verification theorem; superdifferential
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
49K45: Optimality conditions for problems involving randomness
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