On time-inhomogeneous controlled diffusion processes in domains
概率论
2007-05-23 v2 最优化与控制
摘要
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.
引用
@article{arxiv.math/0512200,
title = {On time-inhomogeneous controlled diffusion processes in domains},
author = {Hongjie Dong and N. V. Krylov},
journal= {arXiv preprint arXiv:math/0512200},
year = {2007}
}
备注
Published at http://dx.doi.org/10.1214/009117906000000395 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)