Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition

Details Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition

2006-04-14

arxiv.org/abs/math/0604327v1

Mathematics

Probability

34 pages. To appear: Stochastic Processes and Their Applications

Scientific paper

This paper is devoted to present 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 ($C^{0,1}$) instead of once differentiable in time and twice in space ($C^{1,2}$), 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 comparison with other similar results are also given.

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