Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

DOI10.1137/12090352XzbMath1285.49019arXiv1212.2170MaRDI QIDQ5408792

Mihai Sîrbu, Erhan Bayraktar

Publication date: 11 April 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2170

zbMATH Keywords

comparison principleviscosity solutionsstochastic Perron's methodnonsmooth verification

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Martingales and classical analysis (60G46) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40) PDEs in connection with control and optimization (35Q93)

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