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arXiv · 0907.0062

On the Continuity of Stochastic Exit Time Control Problems

Erhan Bayraktar·Qingshuo Song·Jie Yang
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Abstract

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.

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BibTeXRIS

Erhan Bayraktar, Qingshuo Song, Jie Yang. 2010-04-16. On the Continuity of Stochastic Exit Time Control Problems. https://arxiv.org/abs/0907.0062

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