Weak Dynamic Programming Principle for Viscosity Solutions
Work
Year: 2011
Type: article
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 difficulties related to the measur... more
Authors Bruno Bouchard, Nizar Touzi
Institutions Centre de Recherche en Économie et Statistique, Centre de Recherche en Mathématiques de la Décision, École Polytechnique, Centre de Mathématiques Appliquées
Cites: 17
Cited by: 225
Related to: 10
FWCI: 39.29
Citation percentile (by year/subfield): 100
Topic: Economic theories and models
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green