On time-inhomogeneous controlled diffusion processes in domains

DOI10.1214/009117906000000395zbMath1127.93062arXivmath/0512200OpenAlexW2159085199MaRDI QIDQ879254

Nicolai V. Krylov, Hongjie Dong

Publication date: 8 May 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0512200

zbMATH Keywords

principle of optimalityBellman's principleBellman's equationscontinuity of value functions

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (6)

A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains ⋮ Computable Primal and Dual Bounds for Stochastic Control ⋮ Verification by stochastic Perron's method in stochastic exit time control problems ⋮ A model for optimal stopping in advertisement ⋮ Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains ⋮ Interior Regularity of Fully Nonlinear Degenerate Elliptic Equations I: Bellman Equations with Constant Coefficients

Cites Work

• Adapting some ideas from stochastic control theory to studying the heat equation in closed smooth domains
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On time-inhomogeneous controlled diffusion processes in domains