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

页码：48 / 60

页数：13

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