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Automatica, Vol.50, No.2, 303-334, 2014
A partial history of the early development of continuous-time nonlinear stochastic systems theory
This article is a survey of the early development of selected areas in nonlinear continuous-time stochastic control. Key developments in optimal control and the dynamic programming principle, existence of optimal controls under complete and partial observations, nonlinear filtering, stochastic stability, the stochastic maximum principle and ergodic control are discussed. Issues concerning wide bandwidth noise for stability, modeling, filtering and ergodic control are dealt with. The focus is on the earlier work, but many important topics are omitted for lack of space. (C) 2013 Elsevier Ltd. All rights reserved.
Keywords:Stochastic optimal control;Viscosity solutions;Dynamic programming principle;Nisio semigroup;Existence of optimal controls;Existence under partial observations;Compactness methods;Wide bandwidth noise;Approximations to systems;Nonlinear filtering;Stochastic stability;Stochastic maximum principle;Ergodic control;Stochastic stability;Filtering and control with wide bandwidth noise