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References for Part I
A. Bensoussan, Stochastic Control by Functional Analysis Methods, North Holland, 1981.
J.M. Bismut, Analyse Convexe et probabilités, Thèse, Paris, 1973.
J.M. Bismut, An Introductory Approach to Duality in Optimal Stochastic Control, SIAM Rev. vol. 20, no 1, Jan 1978.
M.H.A. Davis and P.P. Varaiya, Dynamic Programming conditions for partially observable stochastic systems, SIAM J. Cont. 11 (1973), p.226–261.
W.H. Fleming-R. Rishel, Optimal Deterministic and Stochastic Control, Springer Verlag, Berlin (1975).
U.G. Haussmann, General necessary conditions for optimal control of stochastic systems, Math. Progr. Study 6, North Holland, Amsterdam 1976, p. 30–48.
H. Kunita, S. Watanabe, On square integrable Martingales, Nagoya Math. Journal, vol. 30, Aug. 1967.
H.J. Kushner, Necessary Conditions for continuous parameter stochastic optimization problems, Siam J. Control, 10 (1972), p. 550–565.
D. Stroock, On certain Systems of Parabolic equations, Comm. on Pure and Applied Math, vol. XXIII, 447–457 (1970).
W.M. Wonham, On a matrix Riccati equation of Stochastic Control, Siam J. Cont. 6 (1968), p. 312–326.
References Part II
S. Agmon; A. Douglis; L. Niremberg, Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions, I. Comm. Pure App. Math, 12, (1959), pp. 623–727.
A. Bensoussan, Stochastic Control by Functional Analysis Methods, North Holland, 1981.
A. Bensoussan; J.L. Lions, Applications des Inéquations Variationnelles en Contrôle Stochastique, Dunod, Paris, 1978.
A. Bensoussan; M. Robin, On the convergence of the discrete time dynamic programming equation for general semi-groups, to be published.
N.V. Krylov, Controlled Diffusion Processes, Springer Verlag, New York, 1980.
P.L. Lions, Résolution des problèmes de Bellman-Dirichlet, Acta Mathematica.
P.L. Lions, Control of diffusion processes in RN, Com. Pure Appl. Math.
P.L. Lions; J.L. Ménaldi, Control of stochastic integrals and equations of Hamilton-Jacobi-Bellman, Siam J. Control, 1980.
D. Stroock; S.R.S. Varadhan, Multi dimensional Diffusion Processes, Springer Verlag, N.Y.
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Bensoussan, A. (1982). Lectures on stochastic control. In: Mitter, S.K., Moro, A. (eds) Nonlinear Filtering and Stochastic Control. Lecture Notes in Mathematics, vol 972. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0064859
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DOI: https://doi.org/10.1007/BFb0064859
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