Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition

Fausto Gozzi and Francesco Russo

Stochastic Processes and their Applications, 2006, vol. 116, issue 11, 1530-1562

Abstract: This paper is devoted to presenting a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in time and once differentiable in the space variable (C0,1) instead of once differentiable in time and twice in space (C1,2), like in the classical results. The results are obtained using a time dependent Fukushima-Dirichlet decomposition proved in a companion paper by the same authors using stochastic calculus via regularization. Applications, examples and a comparison with other similar results are also given.

Keywords: Hamilton-Jacobi-Bellman; (HJB); equations; Stochastic; calculus; via; regularization; Fukushima-Dirichlet; decomposition; Stochastic; optimal; control; Verification; theorems (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (12)

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