Traditional proof of Bellman's equation for controlled diffusion processes

DOI10.1007/BF00970253MaRDI QIDQ1160600zbMATH OpenFDO

Authors N. V. Krylov

Publication date 1981

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Bellman equationAleksandrov-Busemann-Feller theoremcontrolled diffusion process

Mathematics Subject Classification ID

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

Cites work

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• A Theory of Covering and Differentiation
• Differentiation of integrals in \(\mathbb{R}^n\)
• Sequences of convex functions and estimates of the maximum of the solution of a parabolic equation

Cited in

(6)

• On the Bellman's principle of optimality
• Bellman's equation in a lattice of measures for general controlled stochastic processes. I
• Traditional derivation of Bellman equation for general controlled stochastic processes
• Bankruptcy and expected utility maximization
• Properties of monotone mappings
• A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains

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