We show via the nonlinear semigroup theory in L1(R) that the 1-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution in a sense to be made precise
Mild solutions to the dynamic programming equation for stochastic optimal control problems
Luca Di Persio
2018-01-01
Abstract
We show via the nonlinear semigroup theory in L1(R) that the 1-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution in a sense to be made precise
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Preprint Galley Mild solutions to the dynamic programming equation for stochastic optimal control problems.pdf
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