The probabilistic structure of controlled diffusion processes
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The article reviews the progress of the last twenty years in solving diffusion control problems from a probabilistic point of view. The basic compactness results for probability laws under various classes of controls which turned out relevant in stochastic control are discussed. Special emphasis is then given to the study of Markov controls (non-and degenerate case), to dynamic programming (Hamilton-Jacobi approach), and to a list of open problems.
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