Controlled diffusion processes

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dc.creatorBorkar, Vivek S.
dc.date2005-11-03
dc.date2005-11-11
dc.date.accessioned2026-07-07T06:50:43Z
dc.date.available2026-07-07T06:50:43Z
dc.descriptionThis article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and structural assumptions. Stochastic maximum principle and control under partial observations (equivalently, control of nonlinear filters) are also discussed. Several other related topics are briefly sketched.
dc.descriptionPublished at http://dx.doi.org/10.1214/154957805100000131 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0511077
dc.identifierhttp://arxiv.org/abs/math/0511077
dc.identifierProbability Surveys 2005, Vol. 2, 213-244
dc.identifierdoi:10.1214/154957805100000131
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/104753
dc.subjectProbability
dc.subject93E20 (Primary) 60H30 (Secondary)
dc.titleControlled diffusion processes
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