On the Continuity of Stochastic Exit Time Control Problems

DOI10.1080/07362994.2011.532020zbMath1211.60012arXiv0907.0062OpenAlexW2067097464MaRDI QIDQ3081438

Erhan Bayraktar, Jie Yang, Qingshuo Song

Publication date: 8 March 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.0062

zbMATH Keywords

viscosity solutionsdegenerate diffusionscontinuity of the value functionexit time controlthe Cauchy problem on bounded domains

Mathematics Subject Classification ID

Stochastic stability in control theory (93E15) Generalized stochastic processes (60G20)

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