ABSTRACT
Many stochastic problems of optimal control may be formulated in the following way. Let us consider a dynamic system described by a vector-valued stochastic differential equation of the Ito type () d x ( t ) = f ( t , x , u ) d t + σ ( t , x , u ) d ξ ( t ) , 0 ≤ t ≤ T , x ( 0 ) = x 0 . https://s3-euw1-ap-pe-df-pch-content-public-p.s3.eu-west-1.amazonaws.com/9781003067498/6ba0c26b-f086-40cc-86ed-1693dc596221/content/eq1955.tif"/>
