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On time-inhomogeneous controlled diffusion processes in domains

Hongjie Dong·N. V. Krylov
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Abstract

Time-inhomogeneous controlled diffusion processes in both cylindrical and noncylindrical domains are considered. Bellman's principle and its applications to proving the continuity of value functions are investigated.

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BibTeXRIS

Hongjie Dong, N. V. Krylov. 2007-03-27. On time-inhomogeneous controlled diffusion processes in domains. https://doi.org/10.1214/009117906000000395

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