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.
| Original language | English |
|---|---|
| Pages (from-to) | 169-181 |
| Journal | Pacific Journal of Optimization |
| Publication status | Published - 1 Apr 2009 |
| Externally published | Yes |
Keywords
- Exit Time
- Stochastic Optimal Control
- Measurable Selection
- Dynamic Programming