2013
DOI: 10.1137/12090352x
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Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

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Cited by 59 publications
(94 citation statements)
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“…The flexibility on this end allows us to work with a deterministic time grid, resulting in approximation over Markov strategies. Obviously, the analytic part of the proof (the "bump-up/down" argument) is similar to [S14c] or [BS13], but those parts of the proof were already similar to the (purely analytic) arguments of Ishii for viscosity Perron [Ish87].…”
mentioning
confidence: 74%
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“…The flexibility on this end allows us to work with a deterministic time grid, resulting in approximation over Markov strategies. Obviously, the analytic part of the proof (the "bump-up/down" argument) is similar to [S14c] or [BS13], but those parts of the proof were already similar to the (purely analytic) arguments of Ishii for viscosity Perron [Ish87].…”
mentioning
confidence: 74%
“…In our particular framework, we use asymptotic stochastic semisolutions (so the Perron method here is asymptotic in the stochastic sense of [S14c] or [BS13]). However, we claim that a similar asymptotic Perron's method can be designed in the analytic framework (see Remark 3.1).…”
Section: Proof: the Asymptotic Perron's Methodmentioning
confidence: 99%
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