On time-inhomogeneous controlled diffusion processes in domains

DOI10.1214/009117906000000395MaRDI QIDQ879254zbMATH OpenOpenAlexFDO

Authors Hongjie Dong, N. V. Krylov

Publication date 8 May 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0512200

zbMATH Keywords

principle of optimalityBellman's principleBellman's equationscontinuity of value functions

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Abstract: 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.

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Cited in

(11)

• A model for optimal stopping in advertisement
• Interior Regularity of Fully Nonlinear Degenerate Elliptic Equations I: Bellman Equations with Constant Coefficients
• On the dynamic programming principle for controlled diffusion processes in a cylindrical region
• Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
• Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems
• Computable Primal and Dual Bounds for Stochastic Control
• Verification by stochastic Perron's method in stochastic exit time control problems
• A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains
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