Chow, Pao-Liu; Menaldi, José-Luis; Robin, Maurice Additive control of stochastic linear systems with finite horizon. (English) Zbl 0587.93068 SIAM J. Control Optimization 23, 858-899 (1985). The authors consider an optimal stochastic control problem where the state of the system is a linear stochastic differential equation and the control acts additively on the state of the system. Assuming a special structure on the integral cost function to be minimized, the value function is characterized and simpler equivalent problems are derived. Reviewer: P.L.Lions Cited in 45 Documents MSC: 93E20 Optimal stochastic control 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 93C05 Linear systems in control theory 49J40 Variational inequalities 35K65 Degenerate parabolic equations 49L20 Dynamic programming in optimal control and differential games 35R35 Free boundary problems for PDEs 90C39 Dynamic programming Keywords:additive control; linear stochastic differential equation; value function PDFBibTeX XMLCite \textit{P.-L. Chow} et al., SIAM J. Control Optim. 23, 858--899 (1985; Zbl 0587.93068) Full Text: DOI Link