ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS

DOI10.1070/IM1982v019n01ABEH001410zbMath0514.93070OpenAlexW1995833963MaRDI QIDQ3661443

Nicolai 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

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

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