On approximation of value functions for controlled discontinuous random processes

DOI10.3846/13926292.2011.580015MaRDI QIDQ3015417zbMATH OpenOpenAlexFDO

Authors Svetlana Danilenko, Henrikas Pragarauskas

Publication date 13 July 2011

Published in Mathematical Modelling and Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3846/13926292.2011.580015

zbMATH Keywords

Bellman principlecontrol policycontrolled diffusion processespiecewise constant strategiesvalue function

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

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• SMOOTHNESS OF THE VALUE FUNCTION FOR A CONTROLLED DIFFUSION PROCESS IN A DOMAIN
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