This is the abstract of the paper
  "Viscosity solutions and the Hamiltonian-Jacobi-Bellmann equation"
by Jan A. Van Casteren.

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Abstract:
In this paper we prove that the Lagrangian action,
which may be phrased in terms of a non-linear Feynman-Kac formula,
coincides under rather generous hypotheses with the unique viscosity
solution to the Hamilton-Jacobi-Bellmann equation. The method of
proof is based on martingale theory and Jensen inequality.



Jan van Casteren
Department of Mathematics and Computer Science
University of Antwerp (UIA)
Universiteitsplein 1
2610 Antwerp/Wilrijk
Belgium

Telephone:  +32 3 820 24 02 (office);
            +32 3 820 24 01 (department);
            +32 3 239 77 33 (home).
Fax:        +32 3 820 24 21 (department).
e-mail:     vcaster@uia.ua.ac.be
Web site:   http://win-www.uia.ac.be/hpwisinf/index.html

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