Existence of an L^p-viscosity solution in W_loc^{2,p} to the HJB equation is shown for fully nonlinear infinite-horizon stochastic optimal control with measurable coefficients; the solution is also strong, verification theorems are proved, and the value function is characterized as the unique such L
Criens,Stochastic optimal control problems with measurable coefficients andLd-drift.arXiv:2404.17236v4 (2025)
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Stochastic Optimal Control with Measurable Coefficients and Applications
Existence of an L^p-viscosity solution in W_loc^{2,p} to the HJB equation is shown for fully nonlinear infinite-horizon stochastic optimal control with measurable coefficients; the solution is also strong, verification theorems are proved, and the value function is characterized as the unique such L