Abstract
The paper is devoted to the general theory of controlled diffusion processes in a domain of a ¿/-dimensional space in the absence of constraints on the growth of the coefficients at infinity. It turned out that the most suitable object of study is the payoff function in the optimal stopping problem for the controlled process. A theory analogous to the theory of controlled processes in the whole space with growth constraints on the coefficients is developed under natural assumptions.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 41-64 |
| Number of pages | 24 |
| Journal | Mathematics of the USSR - Izvestija |
| Volume | 19 |
| Issue number | 1 |
| DOIs | |
| State | Published - Feb 28 1982 |
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On controlled diffusion processes with unbounded coefficients. / Krylov, N. V.
In: Mathematics of the USSR - Izvestija, Vol. 19, No. 1, 28.02.1982, p. 41-64.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - On controlled diffusion processes with unbounded coefficients
AU - Krylov, N. V.
PY - 1982/2/28
Y1 - 1982/2/28
N2 - The paper is devoted to the general theory of controlled diffusion processes in a domain of a ¿/-dimensional space in the absence of constraints on the growth of the coefficients at infinity. It turned out that the most suitable object of study is the payoff function in the optimal stopping problem for the controlled process. A theory analogous to the theory of controlled processes in the whole space with growth constraints on the coefficients is developed under natural assumptions.
AB - The paper is devoted to the general theory of controlled diffusion processes in a domain of a ¿/-dimensional space in the absence of constraints on the growth of the coefficients at infinity. It turned out that the most suitable object of study is the payoff function in the optimal stopping problem for the controlled process. A theory analogous to the theory of controlled processes in the whole space with growth constraints on the coefficients is developed under natural assumptions.
UR - http://www.scopus.com/inward/record.url?scp=25444437822&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=25444437822&partnerID=8YFLogxK
U2 - 10.1070/IM1982v019n01ABEH001410
DO - 10.1070/IM1982v019n01ABEH001410
M3 - Article
AN - SCOPUS:25444437822
VL - 19
SP - 41
EP - 64
JO - Izvestiya Mathematics
JF - Izvestiya Mathematics
SN - 1064-5632
IS - 1
ER -