Titlebook: Deterministic and Stochastic Optimal Control; Wendell Fleming,Raymond Rishel Book 1975 Springer-Verlag New York Inc. 1975 Brownian motion.

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The Simplest Problem in Calculus of Variations,problems of interest the domain of the function to be miminized is not a portion of some finite-dimensional space .. Rather, the function is defined on some portion of an infinite-dimensional space if. We shall begin by outlining the elementary theory of minima of a function . on an abstract space .

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Dynamic Programming, takes a different approach. In Dynamic Programming a family of fixed initial point control problems is considered. The minimum value of the performance criterion is considered as a function of this initial point. This function is called the value function. Whenever the value function is differentia

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Stochastic Differential Equations and Markov Diffusion Processes,tems which arise in applications. With one exception the present chapter involves no ideas from control theory, and may be read independently of the rest of the book. (The exception is Theorem 9.2 about the Kalman-Bucy filter; the proof we give depends on the solution to the linear regulator problem