Controlled diffusion processes

Borkar, Vivek S. (2005) Controlled diffusion processes Probability Surveys, 2 . pp. 213-244. ISSN 1549-5787

Full text not available from this repository.

Official URL:

Related URL:


This 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 briefy sketched.

Item Type:Article
Source:Copyright of this article belongs to Institute of Mathematical Statistics.
Keywords:Controlled DiffUsions; Optimal Control; Dynamic Programming; Hamilton-Jacobi-Bellman Equations; Partial Observations; AMS 2000 Subject Classifications: Primary 93E20; Secondary 60H30
ID Code:81462
Deposited On:07 Feb 2012 04:54
Last Modified:07 Feb 2012 04:54

Repository Staff Only: item control page