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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 82, 2010 - Issue 1: Special issue on Filtering and Stochastic Control
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Original Articles

On Bellman's equations for mean and variance control of a Markov diffusion

G. Aivaliotis School of Mathematics, University of Leeds, Leeds, LS2 9JT, UKView further author information
&
A.Yu. Veretennikov School of Mathematics, University of Leeds, Leeds, LS2 9JT, UK; Institute of Information Transmission Problems, Moscow, RussiaCorrespondence[email protected]
Pages 41-51 | Received 04 Dec 2007, Accepted 21 Oct 2008, Published online: 16 Feb 2010

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