Controlled diffusion processes

Vivek S. Borkar

doi:10.1214/154957805100000131

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Home > Journals > Probab. Surveys > Volume 2 > Article

2005 Controlled diffusion processes

Vivek S. Borkar

Probab. Surveys 2: 213-244 (2005). DOI: 10.1214/154957805100000131

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Abstract

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.