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A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs (2304.08919v1)
Published 18 Apr 2023 in math.AP, math.OC, and math.PR
Abstract: We establish a convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-BeLLMan PDEs. Our proof is based on a novel convergence theorem for dynamic sublinear expectations and the stochastic representation of viscosity solutions as value functions.