On time-inhomogeneous controlled diffusion processes in domains

Details On time-inhomogeneous controlled diffusion processes in domains On time-inhomogeneous controlled diffusion processes in domains

2005-12-09

arxiv.org/abs/math/0512200v2

Annals of Probability 2007, Vol. 35, No. 1, 206-227

Mathematics

Probability

Published at http://dx.doi.org/10.1214/009117906000000395 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117906000000395

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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