On time-inhomogeneous controlled diffusion processes in domains

DOI10.1214/009117906000000395zbMATH Open1127.93062arXivmath/0512200OpenAlexW2159085199MaRDI QIDQ879254FDOQ879254

Authors: Hongjie Dong, N. V. Krylov 

Publication date: 8 May 2007

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

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.

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

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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)

Cites Work

• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
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• Adapting some ideas from stochastic control theory to studying the heat equation in closed smooth domains
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• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
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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
• Title not available (Why is that?)
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