scientific article; zbMATH DE number 3810606

zbMATH Open0513.60043MaRDI QIDQ3658831FDOQ3658831

N. V. Krylov

Publication date: 1977

Title of this publication is not available (Why is that?)

zbMATH Keywords

optimal stochastic control of diffusion processes

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Optimal stochastic control (93E20) Stochastic analysis (60Hxx) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)

Cited In (80)

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• Existence of weak solutions of stochastic differential equations with discontinuous coefficients and with a partially degenerate diffusion operator
• On Stochastic Differential Equations with Locally Unbounded Drift
• On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains
• The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization
• Limit behavior of functionals of solutions of diffusion type equations
• Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations
• The parabolic bellman equation
• Existence of \(\beta\)-martingale solutions of stochastic evolution functional equations of parabolic type with measurable locally bounded coefficients
• On the optimal control of integral-functional equations
• Absolute continuity under flows generated by SDE with measurable drift coefficients
• Numerical solution of stochastic differential equations in the sense of Stratonovich in an amorphization crystal lattice model
• Control of the solution of a stochastic equation with discontinuous trajectories
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• On control of time for reaching a domain by random motion
• Optimal locally absolutely continuous change of measure. finite set of decisions. part i
• On averaging principle for diffusion processes with null-recurrent fast component.
• On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• Approximation of controlled solutions of Ito's equation by controlled Markov chains
• A stability theorem for stochastic differential equations and application to stochastic control problems
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator
• Elliptic equations in Sobolev spaces with Morrey drift and the zeroth-order coefficients
• Limit theorems for one-dimensional nonhomogeneous stochastic diffusion equations under irregular dependence of the coefficients on a parameter
• Limit transition in degenerate Bellman equations
• Bellman's equation in a lattice of measures for general controlled stochastic processes. I
• Traditional derivation of Bellman equation for general controlled stochastic processes
• Optimal control model with energy criterion in stochastic Lagrange mechanics
• Feedback controls for stochastic equations with monotone coefficients
• On the independence of the value function for stochastic differential games of the probability space
• G-convergence of elliptic operators in nondivergence form
• A priori estimates for solutions to systems of nonlinear parabolic equations
• A remark on the attainable distributions of controlled diffusions
• Fixed-gain estimation in continuous time
• On the regularity of viscosity solutions of fully nonlinear elliptic equations
• Strong envelopes of stochastic processes and a penalty method^†
• Sensitivities for Bermudan options by regression methods
• Differential equations. Transl. from the Russian
• On weak uniqueness for some diffusions with discontinuous coefficients
• Deterministic and stochastic differential equations in infinite- dimensional spaces
• Stochastic differential equations with nonregular coefficients
• On time inhomogeneous stochastic Itô equations with drift in \(L_{D+1}\)
• On the existence of solutions of unbounded optimal stopping problems
• Averaging of nondivergent second-order equations with random coefficients
• Limit transition in general degenerate Bellman equations. I
• Uniqueness of the solution of Bellman's equation in the case of general controlled processes
• Space average of parabolic equations
• Bellman's equation for uniformly nondegenerate stochastic processes
• Stability analysis of stochastic differential equations with the use of Lyapunov functions of constant sign
• Continuous dependence and time change for Ito equations
• Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
• Sufficient conditions for convergence of solutions of stochastic equations
• Filtering partially observable diffusions up to the exit time from a domain
• On time-inhomogeneous controlled diffusion processes in domains
• Averaging error for elliptic equations with ``layered random coefficients
• Nonequilibrium statistical mechanics of a solid immersed in a continuum
• Traditional proof of Bellman's equation for controlled diffusion processes
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients
• Convergence of diffusion processes
• Nonlinear potentials for Hamilton-Jacobi-Bellman equations
• Stochastic equations and inclusions with mean derivatives and their applications
• On strong solutions of Itô's equations with \(D \sigma\) and \(b\) in Morrey classes containing \(L_d\)
• Weighted Aleksandrov estimates: PDE and stochastic versions
• Regularity properties for a class of non-uniformly elliptic Isaacs operators
• Lyapunov functions in barriers for parabolic equations and in stability problems with respect to ``white noise
• \( \mathcal{L}_1\)-optimal filtering of Markov jump processes. III: Identification of system parameters
• Output dynamic controller analysis for stochastic systems of multiplicative type
• On potentials of Itô's processes with drift in \(L_{d+1}\)
• Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems
• \(G\)-convergence of parabolic operators and weak convergence of solutions of diffusion equations
• MDP for integral functionals of fast and slow processes with averaging
• Equations for probability distributions of local occupation time on a surface for diffusion processes and control problems
• On Shige Peng's central limit theorem
• Factorization, basic notions and applications
• Stability of equilibrium with respect to white noise
• On the maximum principle for stochastic differential equations with a path-wise cost functional
• On the existence of an optimal feedback control for stochastic systems
• Passage to the limit in general degenerate Bellman equations. II

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