Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
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Viscosity solutions to PDEs (35D40) PDEs in connection with control and optimization (35Q93) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Martingales and classical analysis (60G46) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Abstract: We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of the so-called dynamic programming principle (DPP). Using Stochastic Perron's method we construct a super-solution lying below the value function and a sub-solution dominating it. A comparison argument easily closes the proof. The program has the precise meaning of verification for viscosity-solutions, obtaining the DPP as a conclusion. It also immediately follows that the weak and strong formulations of the stochastic control problem have the same value. Using this method we also capture the possible face-lifting phenomenon in a straightforward manner.
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