Traditional proof of Bellman's equation for controlled diffusion processes

DOI10.1007/BF00970253zbMath0477.93080MaRDI QIDQ1160600

Nicolai 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

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

Related Items (6)

On the Bellman's principle of optimality ⋮ Properties of monotone mappings ⋮ A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains ⋮ 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

Cites Work

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