A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
From MaRDI portal
Publication:6433489
arXiv2304.08919MaRDI QIDQ6433489FDOQ6433489
Publication date: 18 April 2023
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.
This page was built for publication: A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6433489)
