On the Continuity of Stochastic Exit Time Control Problems

被引：20
作者：
Bayraktar, Erhan [2 ]
Song, Qingshuo [1 ]
Yang, Jie [3 ]
机构：
[1] City Univ Hong Kong, Dept Math, Kowloon, Hong Kong, Peoples R China
[2] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA
[3] Univ Lllinois Chicago, Dept Math Stat & Comp Sci, Chicago, IL USA
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2011年 / 29卷 / 01期
基金：
美国国家科学基金会;
关键词：
Continuity of the value function; Degenerate diffusions; Exit time control; The Cauchy problem on bounded domains; Viscosity solutions; DIRICHLET PROBLEM; INTEGRALS;
D O I：
10.1080/07362994.2011.532020
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We determine a weaker sufficient condition than that of Theorem 5.2.1 in Fleming and Soner (2006) for the continuity of the value functions of stochastic exit time control problems.
引用
收藏
页码：48 / 60
页数：13
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