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Pour chaque probl\u00e8me, l'A. d\u00e9finit une approximation ad\u00e9quate de la diffusion par un processus constant sur des intervalles al\u00e9atoires. Un argument de compacit\u00e9 dans un espace de mesures permet de d\u00e9montrer la convergence en loi de l'approximation vers la diffusion. Il d\u00e9montre ensuite la convergence des potentiels de l'approximation vers les potentiels de la diffusion. Pour approcher un probl\u00e8me d'optimisation sur une diffusion, il d\u00e9finit une suite de probl\u00e8mes d'optimisation relatifs aux processus approchant la diffusion, et il d\u00e9montre la convergence de la fonction co\u00fbt du probl\u00e8me approch\u00e9 vers la fonction co\u00fbt du probl\u00e8me initial.    Dans le chapitre 1 (''Probability background'') et le Chapitre 2 (''Weak convergence of probability measures''), l'A. rappelle les d\u00e9finitions essentielles sur les processus de Markov, les martingales et les diffusions, ainsi que les r\u00e9sultats principaux de compacit\u00e9 de mesures d\u00e9finies sur des espaces de processus \u00e0 valeurs dans \\(R^ n\\). Dans le Chapitre 3 (''Markov chains and control problems with Markov chain models''), il applique les m\u00e9thodes de la programmation dynamique \u00e0 des probl\u00e8mes d'optimisation sur des cha\u00eenes de Markov \u00e0 temps discret. Il \u00e9tudie ainsi les probl\u00e8mes d'arr\u00eat optimal, de contr\u00f4le optimal, des probl\u00e8mes mixtes de contr\u00f4le avec arr\u00eat optimal, et de contr\u00f4le impulsionnel.    Dans le Chapitre 4 (''Elliptic and parabolic equations and functionals of diffusions''), l'A. rappelle les principaux r\u00e9sultats concernant les \u00e9quations aux d\u00e9riv\u00e9es partielles associ\u00e9es aux diffusions, et \u00e9crit les \u00e9quations aux d\u00e9riv\u00e9es partielles formelles satisfaites par les fonctions co\u00fbts des m\u00eames probl\u00e8mes d'optimisation qu'au Chapitre 3. Aux Chapitres 5 (''A simple application of the invariance theorems'') et 6 (''Elliptic equations and uncontrolled diffusions''), on montre la convergence d'un sch\u00e9ma d'approximation d'une diffusion homog\u00e8ne par une suite de processus constants sur des intervalles al\u00e9atoires, ainsi que la convergence des potentiels.    Au chapitre 7 (''Approximations for parabolic equations and nonlinear filtering problems''), on \u00e9tudie l'approximation des diffusions non homog\u00e8nes et l'approximation des probl\u00e8mes de filtrage. Au chapitre 8 (''Optimal stopping and impulsive control problems, on \u00e9tudie l'approximation du probl\u00e8me d'arr\u00eat optimal sur une diffusion, et l'approximation du probl\u00e8me de contr\u00f4le impulsionnel. Au Chapitre 9 (''Approximations to optimal controls and nonlinear partial differential equations''), l'A. examine les probl\u00e8mes du Chapitre 8 pour les diffusions contr\u00f4l\u00e9es. Le livre se termine par les Chapitres 10 (''Approximations to stochastic delay equations and to diffusions and partial differential equations with reflecting boundaries) et le Chapitre 11 (''The separation theorem of optimal stochastic control 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