A convergence theorem for Crandall–Lions viscosity solutions to path-dependent Hamilton–Jacobi–Bellman PDEs
Abstract: We establish a convergence theorem for Crandall–Lions viscosity solutions to path-dependent Hamilton–Jacobi–Bellman PDEs. Our proof is based on a novel convergence theorem for dynamic sublinear expectations and the stochastic representation of viscosity solutions as value functions
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Nonlinear differential equations and applications NoDEA. - 31, 5 (2024) , 97, ISSN: 1420-9004
- DOI
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10.1007/s00030-024-00986-9
- URN
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urn:nbn:de:bsz:25-freidok-2558522
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:56 PM CET
Data provider
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Associated
- Criens, David
- Universität
Time of origin
- 2024
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