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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 206-227 |
| Number of pages | 22 |
| Journal | Annals of Probability |
| Volume | 35 |
| Issue number | 1 |
| DOIs | |
| State | Published - 2007 |
Keywords
- Bellman's equations
- Bellman's principle
- Continuity of value functions
- Principle of optimality