SIAM Journal on Control and Optimization, Vol.49, No.3, 948-962, 2011
WEAK DYNAMIC PROGRAMMING PRINCIPLE FOR VISCOSITY SOLUTIONS
We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical difficulties related to the measurable selection argument. In the Markov case, our result is tailor-made for the derivation of the dynamic programming equation in the sense of viscosity solutions.