ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS

DOI10.1070/IM1982V019N01ABEH001410zbMATH Open0514.93070OpenAlexW1995833963MaRDI QIDQ3661443FDOQ3661443

N. V. Krylov

Publication date: 1982

Published in: Mathematics of the USSR-Izvestiya (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/im1982v019n01abeh001410

zbMATH Keywords

unbounded coefficientsBellman principlecontrolled diffusion processBellman stability

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamic programming (90C39) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited In (12)

• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• Weak solutions of mean-field stochastic differential equations
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
• Optimal control for a class of partially observable systems^†
• Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain
• On driftless one-dimensional sdes with time-dependent diffusion coefficients
• On stability and existence of solutions of SDEs with reflection at the boundary
• A quasilinear elliptic equation in ℝ^N
• Boundary and initial boundary-value problems for separable backward–forward parabolic problems
• Compactification methods in the control of degenerate diffusions: existence of an optimal control

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