SIAM Journal on Control and Optimization, Vol.50, No.6, 3344-3373, 2012
WEAK DYNAMIC PROGRAMMING FOR GENERALIZED STATE CONSTRAINTS
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the Hamilton-Jacobi-Bellman equation in the viscosity sense. We treat open state constraints as a special case of expectation constraints and prove a comparison theorem to obtain the equation for closed state constraints.
Keywords:weak dynamic programming;state constraint;expectation constraint;Hamilton-Jacobi-Bellman equation;viscosity solution;comparison theorem