摘要
In the long history of mathematics, stochastic optimal control is a rather recent development. Using Bellman’s principle of optimality along with measure-theoretic and functional-analytic methods, several mathematicians such as H. Kushner, W. Fleming, R. Rishel, W.M. Wonham and J.M. Bismut, among many others, made important contributions to this new area of mathematical research during the 1960s and early 1970s. For a complete mathematical exposition of the continuous time case, see Fleming and Rishel (1975), and for the discrete time case, see Bertsekas and Shreve (1978).
摘要译文
在数学的悠久历史中，随机最优控制是一个相当新的发展。使用Bellman的最优性原理以及测量理论和功能分析方法，几位数学家，如H. Kushner，W。Fleming，R。Rishel，W.M。 Wonham和J.M. Bismut等人在20世纪60年代和70年代初期为这一新的数学研究领域做出了重要贡献。有关连续时间案例的完整数学阐述，请参阅Fleming和Rishel（1975），对于离散时间案例，请参阅Bertsekas和Shreve（1978）。
A. G. Maluaris. Stochastic Optimal Control. The New Palgrave Dictionary of Economics[M].DE: Springer, 2008: 6346-6349