A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
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Publication:6433489
Abstract: We establish a convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs. Our proof is based on a novel convergence theorem for dynamic sublinear expectations and the stochastic representation of viscosity solutions as value functions.
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