On time-inhomogeneous controlled diffusion processes in domains
arXiv:math/0512200 · doi:10.1214/009117906000000395
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.
Published at http://dx.doi.org/10.1214/009117906000000395 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)