Théorème de véri...cation en contrôle optimal stochastique

Abstract

e present in this memory a preview about the verification theorem in the sense of viscosity and the over-and sub-differential that associated, which makes the applicability of the verification theorems wider than the verification theorem in the classical sense, generally the Solution of the Hamilton Jacobi Bellman equation is a regular solution, and the concept of viscosity solution is shown to obtain a continuous solution.