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).


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