On the Continuity of Stochastic Exit Time Control Problems

Date
Authors
Bayraktar, Erhan
Song, Qingshuo
Yang, Jie
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
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.
Comment: The proof of Lemma 3.1 is slightly modified, and Remark 4.1 is rephrased for better presentations. In addition, some typos are corrected.
Keywords
Mathematics - Probability, Mathematics - Optimization and Control, 60G20 (Primary), 93E15 (Secondary)
Citation
Collections