Abstract
The subject of this article is quite classical. Indeed, the study of optimal control for continuous time diffusion processes began in the early 1960s with the stochastic linear regulator problem. We refer the reader to [1], [2], [3], [4], [8], and [9] for the literature and historical remarks related to the subject.
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Krylov, N.V. (2001). Stochastic Linear Controlled Systems with Quadratic Cost Revisited. In: Hida, T., Karandikar, R.L., Kunita, H., Rajput, B.S., Watanabe, S., Xiong, J. (eds) Stochastics in Finite and Infinite Dimensions. Trends in Mathematics. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0167-0_12
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