Abstract
As outlined in the previous chapter, the dynamic programming method is a powerful tool to study stochastic control problems by means of the Hamilton-Jacobi-Bellman equation. However, in the classical approach, the method is used only when it is assumed a priori that the value function is smooth enough. This is not necessarily true even in very simple cases.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2009 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Pham, H. (2009). The viscosity solutions approach to stochastic control problems. In: Continuous-time Stochastic Control and Optimization with Financial Applications. Stochastic Modelling and Applied Probability, vol 61. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-89500-8_4
Download citation
DOI: https://doi.org/10.1007/978-3-540-89500-8_4
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-89499-5
Online ISBN: 978-3-540-89500-8
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)