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Teoriya Veroyatnostei i ee Primeneniya, 1972, Volume 17, Issue 1, Pages 111–128 (Mi tvp4193)  

This article is cited in 60 scientific papers (total in 60 papers)

Control of a Solution of a Stochastic Integral Equation

N. V. Krylov

Moscow
Abstract: Let $\xi(t)$ be a Wiener process in $E_n$, $\alpha_n$ a non-anticipative vector function, $\delta=\{\alpha_t\}$, $x_t^{\delta,x}$ a solution of
$$ x_t=x+\int_0^t\sigma(x_s,\alpha_s)d\xi_s+\int_0^t b(x_s,\alpha_s)\,ds, $$
$\varphi=\varphi(x)$. In this paper, smouthness of functions
$$ v(x)=\sup_{\delta,\tau}\mathbf{M}\biggl[\int_0^\tau e^{-\lambda t}f(x_t^{\delta,x},\alpha_t)\,dt+e^{-\lambda\tau}\varphi(x_\tau^\delta,x)\biggr] $$
is investigated.
Under conditions of smouthness type on $\sigma,b,f,\varphi$ it is proved that $v\in W_{p,\textrm{loc}}^2$ (Sobolev space). If, in addition, $\sigma\sigma^*$ is strictly positive-definite, then
$$ \sup_\alpha (L^\alpha v+f^\alpha)\leq 0\ (\textrm{a.e.}), \quad \sup_\alpha (L^\alpha v+f^\alpha)=0\ (\textrm{a.e.}\ \{x: v(x)>\varphi(x)\}). $$

The structure of $\varepsilon$-optimal policies $\delta$ and $\varepsilon$-optimal stopping times $\tau$ is also studied.
Received: 28.04.1970
English version:
Theory of Probability and its Applications, 1972, Volume 17, Issue 1, Pages 114–13
DOI: https://doi.org/10.1137/1117009
Bibliographic databases:
Language: Russian
Citation: N. V. Krylov, “Control of a Solution of a Stochastic Integral Equation”, Teor. Veroyatnost. i Primenen., 17:1 (1972), 111–128; Theory Probab. Appl., 17:1 (1972), 114–13
Citation in format AMSBIB
\Bibitem{Kry72}
\by N.~V.~Krylov
\paper Control of a Solution of a Stochastic Integral Equation
\jour Teor. Veroyatnost. i Primenen.
\yr 1972
\vol 17
\issue 1
\pages 111--128
\mathnet{http://mi.mathnet.ru/tvp4193}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=299322}
\zmath{https://zbmath.org/?q=an:0265.60055}
\transl
\jour Theory Probab. Appl.
\yr 1972
\vol 17
\issue 1
\pages 114--13
\crossref{https://doi.org/10.1137/1117009}
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  • https://www.mathnet.ru/eng/tvp/v17/i1/p111
  • This publication is cited in the following 60 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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