Controlled diffusion processes

Details Controlled diffusion processes Controlled diffusion processes

2005-11-03

arxiv.org/abs/math/0511077v2

Probability Surveys 2005, Vol. 2, 213-244

Mathematics

Probability

Published at http://dx.doi.org/10.1214/154957805100000131 in the Probability Surveys (http://www.i-journals.org/ps/) by the In

Scientific paper

10.1214/154957805100000131

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 briefly sketched.

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