Aubin, Jean-Pierre; Pujal, Dominique; Saint-Pierre, Patrick - Université Paris-Dauphine - 2005
We use in this chapter the viability/capturability approach for studying the problem of dynamic valuation and …) instead of stochastic control systems. Indeed, the very definition of the guaranteed valuation set can be formulated directly …-capture basin and find a formula for the valuation function involving an underlying criterion, use the tangential properties of such …