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Author
Bouchard, Bruno
Nutz, Marcel
Date
2011-05-04Type
- Working Paper
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Abstract
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the Hamilton-Jacobi-Bellman equation in the viscosity sense. We treat open state constraints as a special case of expectation constraints and prove a comparison theorem to obtain the equation for closed state constraints Show more
Publication status
publishedJournal / series
arXivPages
Publisher
Cornell UniversityOrganisational unit
03844 - Soner, Mete
Notes
Submitted on 4 May 2011.More
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