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    SIAMCO
    2011
    242views Software Engineering» more  SIAMCO 2011»
    Weak Dynamic Programming Principle for Viscosity Solutions
    12 years 7 months ago
    Weak Dynamic Programming Principle for Viscosity Solutions
    Download  www.ceremade.dauphine.fr
    Abstract. We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical di�...
    Bruno Bouchard, Nizar Touzi
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    JOTA
    2010
    144views more  JOTA 2010»
    On a PDE Arising in One-Dimensional Stochastic Control Problems
    12 years 11 months ago
    On a PDE Arising in One-Dimensional Stochastic Control Problems
    Download  www.eco.uc3m.es
    The paper provides a systematic way for finding a partial differential equation that directly characterizes the optimal control, in the framework of one
    Ricardo Josa-Fombellida, Juan Pablo Rincón-...
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