On time-inhomogeneous controlled diffusion processes in domains

Hongjie Dong and N. V. Krylov

Source: Ann. Probab. Volume 35, Number 1 (2007), 206-227.

Abstract

Time-inhomogeneous controlled diffusion processes in both cylindrical and noncylindrical domains are considered. Bellman’s principle and its applications to proving the continuity of value functions are investigated.

Primary Subjects: 93E20, 90C40

Keywords: Principle of optimality; Bellman’s principle; Bellman’s equations; continuity of value functions

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.aop/1174324128
Digital Object Identifier: doi:10.1214/009117906000000395
Mathematical Reviews number (MathSciNet): MR2303952
Zentralblatt MATH identifier: 1127.93062

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