Stochastic version of a penalty method

  • L. Stettner
  • J. Zabczyk
Stochastic Control
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 22)


The penalty method studied in this paper was introduced by Lions


Variational Inequality Markov Process Potential Theory Penalty Method Infinitesimal Generator 
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Copyright information

© Springer-Verlag 1980

Authors and Affiliations

  • L. Stettner
    • 1
  • J. Zabczyk
    • 1
  1. 1.Institute of MathematicsPolish Academy of SciencesWarszawaPoland

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