On the Continuity of Stochastic Exit Time Control Problems

DOI10.1080/07362994.2011.532020zbMath1211.60012arXiv0907.0062MaRDI QIDQ3081438

Erhan Bayraktar, Jie Yang, Qingshuo Song

Publication date: 8 March 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.0062

zbMATH Keywords

viscosity solutions; degenerate diffusions; continuity of the value function; exit time control; the Cauchy problem on bounded domains

Mathematics Subject Classification ID

93E15: Stochastic stability in control theory

60G20: Generalized stochastic processes

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