ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS

DOI10.1070/IM1982V019N01ABEH001410MaRDI QIDQ3661443zbMATH OpenOpenAlexFDO

Authors 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 existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• On stability and existence of solutions of SDEs with reflection at the boundary
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain
• Weak solutions of mean-field stochastic differential equations
• Optimal control for a class of partially observable systems^†
• 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
• Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients
• On driftless one-dimensional sdes with time-dependent diffusion coefficients

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