On the dynamic programming principle for controlled diffusion processes in a cylindrical region

DOI10.17377/SEMI.2013.10.023MaRDI QIDQ891001zbMATH OpenFDO

Authors D. B. Rokhlin

Publication date 16 November 2015

Published in Sibirskie Elektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.2191

zbMATH Keywords

value functionsemicontinuityexit timedynamic programming principle

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamic programming in optimal control and differential games (49L20)

Abstract: We prove the dynamic programming principle for a class of diffusion processes controlled up to the time of exit from a cylindrical region $[0,T)imesG$. It is assumed that the functional to be maximized is in the Lagrange form with nonnegative integrand. Besides this we only adopt the standard assumptions, ensuring the existence of a unique strong solution of a stochastic differential equation for the state process.

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Cited in

(1)

• On time-inhomogeneous controlled diffusion processes in domains

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