The aim of this paper is to provide the proof of a Dynamic Programming Principle for a certain class of stochastic control problems with exit time. To this end, a Measurable Selection Theorem is also proved.
Dynamic Programming via Measurable Selection
CERQUETI, ROY
2009-01-01
Abstract
The aim of this paper is to provide the proof of a Dynamic Programming Principle for a certain class of stochastic control problems with exit time. To this end, a Measurable Selection Theorem is also proved.File in questo prodotto:
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