On the Continuity of Stochastic Exit Time Control Problems

Erhan Bayraktar; Jie Yang; Qingshuo Song

arxiv: 0907.0062 · v6 · submitted 2009-07-01 · 🧮 math.PR · math.OC

On the Continuity of Stochastic Exit Time Control Problems

Erhan Bayraktar , Qingshuo Song , Jie Yang This is my paper

classification 🧮 math.PR math.OC

keywords continuitycontrolexitproblemsstochastictimeconditiondetermine

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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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On the Continuity of Stochastic Exit Time Control Problems

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