Abstract
In Chapter 3 we investigated general properties of controlled processes, such as continuity of a payoff function, the feasibility of passing to the limit from one process to another, the validity of Bellman’s principle of various forms, etc. The assumptions we have made are rather weak. In this chapter we shall see that by making additional assumptions on the smoothness of initial objects, we can prove some smoothness of the payoff functions as well as the fact that the payoff functions satisfy the Bellman equation.
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© 2009 Springer-Verlag Berlin Heidelberg
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(2009). The Bellman Equation. In: Controlled Diffusion Processes. Stochastic Modelling and Applied Probability, vol 14. Springer, New York, NY. https://doi.org/10.1007/978-3-540-70914-5_4
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DOI: https://doi.org/10.1007/978-3-540-70914-5_4
Publisher Name: Springer, New York, NY
Print ISBN: 978-3-540-70913-8
Online ISBN: 978-3-540-70914-5
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