Bensoussan, Alain Stochastic control by functional analysis methods. (English) Zbl 0474.93002 Studies in Mathematics and its Applications, Vol. 11. Amsterdam - New York - Oxford: North-Holland Publishing Company. XVI, 410 p. $ 58.25; Dfl. 125.00 (1982). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 2 ReviewsCited in 95 Documents MSC: 93-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory 49J55 Existence of optimal solutions to problems involving randomness 93E20 Optimal stochastic control 35J20 Variational methods for second-order elliptic equations 49J40 Variational inequalities 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 93E11 Filtering in stochastic control theory 35J65 Nonlinear boundary value problems for linear elliptic equations 60G40 Stopping times; optimal stopping problems; gambling theory 90C39 Dynamic programming Keywords:stochastic calculus; second-order elliptic problems; stochastic control; filtering dynamic programming equation; optimal stopping; variational inequalities; impulse control PDF BibTeX XML