A convergence theorem for Crandall–Lions viscosity solutions to path-dependent Hamilton–Jacobi–Bellman PDEs

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2024年8月4日

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David Criens

摘要

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.