Weak Dynamic Programming Principle for Viscosity Solutions

It is worthwhile to notice that these schemes can be adapted to treat other deterministic control problem such as finite horizon and optimal stopping control

We consider an open

As an example of application, we show how it can be used to provide a viscosity characterization of the super-heging price of American options under portfolio constraints,

We provide, in a general setup, a relaxed geometric dynamic programming for this problem and derive, for the case of a controlled SDE, the corresponding dynamic programming equation

Our main result is on one hand the formulation and solution of the robust feedback switching control problem, in which the controller only observes the evolution of the state

Appendix C: discontinuous mixed single or multiple optimal stopping problems In this appendix we first study a mixed optimal control-optimal stopping time problem and we prove that

Elkihel, Load balancing methods and parallel dynamic programming algorithm using dominance technique applied to th 0-1 knapsack prob- lem Journal of Parallel and Distributed

3) Conclusion: Because of the negligible sub-optimality induced and the reduction in the calculation time, the nu- merical results presented above suggest that it is sufficient to