The stochastic value function on metric measure spaces
Analysis of PDEs
2016-12-20 v1 Optimization and Control
Abstract
Let be a compact metric space and let be a Borel probability measure on . We shall prove that, if is a space, then the stochastic value function satisfies the viscous Hamilton-Jacobi equation, exactly as in Fleming's theorem on .
Keywords
Cite
@article{arxiv.1612.06280,
title = {The stochastic value function on metric measure spaces},
author = {Ugo Bessi},
journal= {arXiv preprint arXiv:1612.06280},
year = {2016}
}