ABSTRACT
This work is concerne d with the application of the theor y of stochastic
p r o c e s s e s , of potential theor y and of convex analysi s to the optimal control
of diffusions. Ver y genera l result s of existenc e a r e prove d for diffusions
killed on a Bore l set, for "dying" diffusions, for unidimensional homogeneous
diffusions, and for diffusions reflected on a boundary. The result s a r e ver y
general , and include all the alread y known t h e o r e m s on stochastic control ,
while extending them on numerou s points .
AMS (MOS) subject classifications (1970). P r i m a r y 93E20, 60J60, 60J45,
49A30, 49B35; secondar y 60H05, 60G45.
K e y w o r d s and p h r a s e s . Stochastic control theory, diffusions, probabilisti c
potential theory , m a r t i n g a l e s .
Library of Congress Cataloging in Publication Data W ^ | | J
Bismut, Jea n Michel.
Theori e p r o b a b i l i s t e du c o n t r M e des d i f f u s i o n s .
(Memoirs of t h e American Mathematical Societ y ;
no. 167)
Summary i n E n g l i s h .
Bibliography : p .
1. Diffusio n p r o c e s s e s . 2. Contro l t h e o r y .
3 . P o t e n t i a l , Theory of. k. Martinqale s (Math-
ematics ) I . T i t l e . I I . S e r i e s : American Math-
e m a t i c a l S o c i e t y . Memoirs ; no. 167.
QA3.A57 no.167 [QA27lf.75] 510 T .8s [519.2*5]
ISBN 0-8218-1867-8 75-J+l602
ii
Previous Page Next Page