A mini-course on stochastic control

DOI10.1142/9789813276154_0004MaRDI QIDQ5237338zbMATH OpenOpenAlexFDO

Authors Qi Lü, Xu Zhang

Publication date 17 October 2019

Published in Series in Contemporary Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.02523

zbMATH Keywords

stochastic controlcontrollability of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Abstract: This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties in the study of controllability and optimal control problems for these sort of equations. In particular, we will show by some examples that both the formulation of stochastic control problems and the tools to solve them may differ considerably from their deterministic counterpart.

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