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Lectures on stochastic control

  • I. Main Lectures
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Nonlinear Filtering and Stochastic Control

Part of the book series: Lecture Notes in Mathematics ((LNMCIME,volume 972))

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References for Part I

  1. A. Bensoussan, Stochastic Control by Functional Analysis Methods, North Holland, 1981.

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  2. J.M. Bismut, Analyse Convexe et probabilités, Thèse, Paris, 1973.

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  3. J.M. Bismut, An Introductory Approach to Duality in Optimal Stochastic Control, SIAM Rev. vol. 20, no 1, Jan 1978.

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  4. M.H.A. Davis and P.P. Varaiya, Dynamic Programming conditions for partially observable stochastic systems, SIAM J. Cont. 11 (1973), p.226–261.

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  5. W.H. Fleming-R. Rishel, Optimal Deterministic and Stochastic Control, Springer Verlag, Berlin (1975).

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  6. U.G. Haussmann, General necessary conditions for optimal control of stochastic systems, Math. Progr. Study 6, North Holland, Amsterdam 1976, p. 30–48.

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  7. H. Kunita, S. Watanabe, On square integrable Martingales, Nagoya Math. Journal, vol. 30, Aug. 1967.

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  8. H.J. Kushner, Necessary Conditions for continuous parameter stochastic optimization problems, Siam J. Control, 10 (1972), p. 550–565.

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  9. D. Stroock, On certain Systems of Parabolic equations, Comm. on Pure and Applied Math, vol. XXIII, 447–457 (1970).

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  10. W.M. Wonham, On a matrix Riccati equation of Stochastic Control, Siam J. Cont. 6 (1968), p. 312–326.

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References Part II

  1. S. Agmon; A. Douglis; L. Niremberg, Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions, I. Comm. Pure App. Math, 12, (1959), pp. 623–727.

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  2. A. Bensoussan, Stochastic Control by Functional Analysis Methods, North Holland, 1981.

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  3. A. Bensoussan; J.L. Lions, Applications des Inéquations Variationnelles en Contrôle Stochastique, Dunod, Paris, 1978.

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  4. A. Bensoussan; M. Robin, On the convergence of the discrete time dynamic programming equation for general semi-groups, to be published.

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  5. N.V. Krylov, Controlled Diffusion Processes, Springer Verlag, New York, 1980.

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  6. P.L. Lions, Résolution des problèmes de Bellman-Dirichlet, Acta Mathematica.

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  7. P.L. Lions, Control of diffusion processes in RN, Com. Pure Appl. Math.

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  8. P.L. Lions; J.L. Ménaldi, Control of stochastic integrals and equations of Hamilton-Jacobi-Bellman, Siam J. Control, 1980.

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  9. D. Stroock; S.R.S. Varadhan, Multi dimensional Diffusion Processes, Springer Verlag, N.Y.

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Author information

Authors and Affiliations

  1. University Paris-Dauphine and INRIA, France

    A. Bensoussan

Authors
  1. A. Bensoussan
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Sanjoy K. Mitter Antonio Moro

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© 1982 Spring-Verlag

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Bensoussan, A. (1982). Lectures on stochastic control. In: Mitter, S.K., Moro, A. (eds) Nonlinear Filtering and Stochastic Control. Lecture Notes in Mathematics, vol 972. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0064859

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  • DOI: https://doi.org/10.1007/BFb0064859

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11976-0

  • Online ISBN: 978-3-540-39431-0

  • eBook Packages: Springer Book Archive

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