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Pré-Publication, Document De Travail Année : 2023

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions

Résumé

We formulate a path-dependent stochastic optimal control problem under general conditions, for which we prove rigorously the dynamic programming principle and that the value function is the unique Crandall- Lions viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. Compared to the literature, the proof of our core result, that is the comparison theorem, is based on the fact that the value function is bigger than any viscosity subsolution and smaller than any viscosity supersolution. It also relies on the approximation of the value function in terms of functions defined on finite-dimensional spaces as well as on regularity results for parabolic partial differential equations.
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Dates et versions

hal-03285204 , version 1 (13-07-2021)
hal-03285204 , version 2 (27-04-2022)
hal-03285204 , version 3 (03-08-2023)

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Andrea Cosso, Fausto Gozzi, Mauro Rosestolato, Francesco Russo. Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions. 2023. ⟨hal-03285204v3⟩
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