Add to ORKGInternational audienceWe prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical difficulties related to the measurable selection argument. In the Markov case, our result is tailor-maid for the derivation of the dynamic programming equation in the sense of viscosity solutions
We provide a dynamic programming principle for stochastic optimal control problems with expectation ...
International audienceWe provide a dynamic programming principle for stochastic optimal control prob...
International audienceWe provide a dynamic programming principle for stochastic optimal control prob...
International audienceWe prove a weak version of the dynamic programming principle for standard stoc...
We prove a weak version of the dynamic programming principle for standard stochastic control problem...
We prove a weak version of the dynamic programming principle for standard stochastic control problem...
We prove a weak version of the dynamic programming principle for standard stochastic control problem...
Abstract. We prove a weak version of the dynamic programming principle for standard sto-chastic cont...
Abstract. We prove a weak version of the dynamic programming principle for standard stochas-tic cont...
International audienceWe prove a weak version of the dynamic programming principle for standard stoc...
International audienceWe prove a weak version of the dynamic programming principle for standard stoc...
1 Stochastic control problems and the associated Hamilton-Jacobi-Bellman equation 6 1.1 Stochastic C...
International audienceWe study a combined optimal control/stopping problem under a nonlinear expecta...
International audienceWe study a combined optimal control/stopping problem under a nonlinear expecta...
In this paper, we define and study a new class of optimal stochastic control problems which is close...
We provide a dynamic programming principle for stochastic optimal control problems with expectation ...
International audienceWe provide a dynamic programming principle for stochastic optimal control prob...
International audienceWe provide a dynamic programming principle for stochastic optimal control prob...
International audienceWe prove a weak version of the dynamic programming principle for standard stoc...
We prove a weak version of the dynamic programming principle for standard stochastic control problem...
We prove a weak version of the dynamic programming principle for standard stochastic control problem...
We prove a weak version of the dynamic programming principle for standard stochastic control problem...
Abstract. We prove a weak version of the dynamic programming principle for standard sto-chastic cont...
Abstract. We prove a weak version of the dynamic programming principle for standard stochas-tic cont...
International audienceWe prove a weak version of the dynamic programming principle for standard stoc...
International audienceWe prove a weak version of the dynamic programming principle for standard stoc...
1 Stochastic control problems and the associated Hamilton-Jacobi-Bellman equation 6 1.1 Stochastic C...
International audienceWe study a combined optimal control/stopping problem under a nonlinear expecta...
International audienceWe study a combined optimal control/stopping problem under a nonlinear expecta...
In this paper, we define and study a new class of optimal stochastic control problems which is close...
We provide a dynamic programming principle for stochastic optimal control problems with expectation ...
International audienceWe provide a dynamic programming principle for stochastic optimal control prob...
International audienceWe provide a dynamic programming principle for stochastic optimal control prob...