On the Continuity of Stochastic Exit Time Control Problems
Probability
2010-04-19 v6 Optimization and Control
Abstract
We determine a weaker sufficient condition than that of Theorem 5.2.1 in Fleming and Soner (2006) for the continuity of the value functions of stochastic exit time control problems.
Cite
@article{arxiv.0907.0062,
title = {On the Continuity of Stochastic Exit Time Control Problems},
author = {Erhan Bayraktar and Qingshuo Song and Jie Yang},
journal= {arXiv preprint arXiv:0907.0062},
year = {2010}
}
Comments
The proof of Lemma 3.1 is slightly modified, and Remark 4.1 is rephrased for better presentations. In addition, some typos are corrected.