Control of diffusion processes in \(\mathbb R^N\) (Q1142984)

In this problem the general problem of optimal control of stochastic differential equations in \(\mathbb R^N\) is considered. Under general assumptions it is proved that the optimal cost function satisfies a nonlinear partial differential equation called the Hamilton-Jacobi-Bellman equation. In particular no assumption on the nondegeneracy of the diffusion processes is made.