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- W4290042042 abstract "We construct an abstract framework in which the dynamic programming principle (DPP) can be readily proven. It encompasses a broad range of common stochastic control problems in the weak formulation, and deals with problems in the martingale formulation with particular ease. We give two illustrations; first, we establish the DPP for general controlled diffusions and show that their value functions are viscosity solutions of the associated Hamilton-Jacobi-Bellman equations under minimal conditions. After that, we show how to treat singular control on the example of the classical monotone-follower problem." @default.
- W4290042042 created "2022-08-06" @default.
- W4290042042 creator A5033240082 @default.
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- W4290042042 date "2018-01-30" @default.
- W4290042042 modified "2023-10-17" @default.
- W4290042042 title "A Framework for the Dynamic Programming Principle and Martingale-generated Control Correspondences" @default.
- W4290042042 doi "https://doi.org/10.48550/arxiv.1801.10218" @default.
- W4290042042 hasPublicationYear "2018" @default.
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