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Mathematics of the USSR-Sbornik, 1980, Volume 37, Issue 1, Pages 133–149
DOI: https://doi.org/10.1070/SM1980v037n01ABEH001946
(Mi sm2362)
 

This article is cited in 19 scientific papers (total in 19 papers)

Some new results in the theory of controlled diffusion processes

N. V. Krylov
References:
Abstract: The validity of the Bellman equation for the payoff function for a controlled random diffusion process is proved. The main difference between the results in this article and those known earlier on the same theme is that here no assumptions whatever are made on the nondegeneracy of the controlled process. A theorem on the uniqueness of the solution of the Bellman equation is proved as well. The Bellman equation is examined in a lattice of measures; the derivatives of functions on which it is studied are understood as measures.
Bibliography: 13 titles.
Received: 11.05.1977 and 07.12.1978
Bibliographic databases:
UDC: 519.2+517.9
MSC: Primary 49C10, 60J60; Secondary 35K65
Language: English
Original paper language: Russian
Citation: N. V. Krylov, “Some new results in the theory of controlled diffusion processes”, Math. USSR-Sb., 37:1 (1980), 133–149
Citation in format AMSBIB
\Bibitem{Kry79}
\by N.~V.~Krylov
\paper Some new results in the theory of controlled diffusion processes
\jour Math. USSR-Sb.
\yr 1980
\vol 37
\issue 1
\pages 133--149
\mathnet{http://mi.mathnet.ru//eng/sm2362}
\crossref{https://doi.org/10.1070/SM1980v037n01ABEH001946}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=538554}
\zmath{https://zbmath.org/?q=an:0436.93055|0404.93052}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1980KN98200009}
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  • https://doi.org/10.1070/SM1980v037n01ABEH001946
  • https://www.mathnet.ru/eng/sm/v151/i1/p146
  • This publication is cited in the following 19 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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