Abstract
In this paper we review some representation formulas for viscosity solutions in terms of certain variational problems, following an approach due to (Fleming and Vermes, SIAM J Control Optim 27(5):1136-1155, 1989).We consider both the discounted cost infinite horizon problem and the terminal value problem. These formulas are obtained using a relaxed control formulation and then applying duality theory.
Original language | English |
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Pages (from-to) | 361-386 |
Number of pages | 26 |
Journal | Springer Proceedings in Mathematics |
Volume | 2 |
DOIs | |
Publication status | Published - 1 Jan 2011 |
Externally published | Yes |