A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
arXiv:2304.08919
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.