关于随机退出时间控制问题的连续性
概率论
2010-04-19 v6 最优化与控制
摘要
我们确定了比Fleming和Soner (2006)中定理5.2.1更弱的充分条件，用于随机退出时间控制问题值函数的连续性。
引用
@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}
}
备注
The proof of Lemma 3.1 is slightly modified, and Remark 4.1 is rephrased for better presentations. In addition, some typos are corrected.