The Annals of Probability

On time-inhomogeneous controlled diffusion processes in domains

Hongjie Dong and N. V. Krylov

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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.

Article information

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

Dates
First available in Project Euclid: 19 March 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1174324128

Digital Object Identifier
doi:10.1214/009117906000000395

Mathematical Reviews number (MathSciNet)
MR2303952

Zentralblatt MATH identifier
1127.93062

Subjects
Primary: 93E20: Optimal stochastic control 90C40: Markov and semi-Markov decision processes

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

Citation

Dong, Hongjie; Krylov, N. V. On time-inhomogeneous controlled diffusion processes in domains. Ann. Probab. 35 (2007), no. 1, 206--227. doi:10.1214/009117906000000395. https://projecteuclid.org/euclid.aop/1174324128


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References

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