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Discrete approximation of continuous time stochastic control systems. (English) Zbl 0508.93065

MSC:
93E20 Optimal stochastic control
90C39 Dynamic programming
65C99 Probabilistic methods, stochastic differential equations
60H99 Stochastic analysis
49J55 Existence of optimal solutions to problems involving randomness
49L20 Dynamic programming in optimal control and differential games
93C55 Discrete-time control/observation systems
93C99 Model systems in control theory
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