Continuity Theorems in Stochastic Control Problems

Published Online:https://doi.org/10.1287/moor.7.4.568

For some stochastic control systems described by stochastic integral equations where the admissible control class is a set of uniformly equi-Lipschitz continuous functions, it is shown that, under suitable conditions, the optimal output process is continuously dependent on the input process in the sense of weak convergence.

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