A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
Analysis of PDEs
2023-04-19 v1 Optimization and Control
Probability
Abstract
We establish a convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs. Our proof is based on a novel convergence theorem for dynamic sublinear expectations and the stochastic representation of viscosity solutions as value functions.
Keywords
Cite
@article{arxiv.2304.08919,
title = {A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs},
author = {David Criens},
journal= {arXiv preprint arXiv:2304.08919},
year = {2023}
}