On time-inhomogeneous controlled diffusion processes in domains
Dong, Hongjie ; Krylov, N. V.
Ann. Probab., Tome 35 (2007) no. 1, p. 206-227 / Harvested from Project Euclid
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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.
Publié le : 2007-01-14
Classification:  Principle of optimality,  Bellman’s principle,  Bellman’s equations,  continuity of value functions,  93E20,  90C40 
@article{1174324128,
     author = {Dong, Hongjie and Krylov, N. V.},
     title = {On time-inhomogeneous controlled diffusion processes in domains},
     journal = {Ann. Probab.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 206-227},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1174324128}
}

Dong, Hongjie; Krylov, N. V. On time-inhomogeneous controlled diffusion processes in domains. Ann. Probab., Tome 35 (2007) no. 1, pp.  206-227. http://gdmltest.u-ga.fr/item/1174324128/