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In a controlled system, for example $$ dX_t=b(t,X_t,u_t)dt+\sigma(t,X_t,u_t)dW_t, $$ where $W_t$ is standard Brownian motion, $u_t$ is the controls strategies. If I want to find a kind of feed back control, are there any basic literature focus on this problem?

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Give an eye to:

"Stochastic Control in Discrete and Continuous Time", Atle Seierstad

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  • $\begingroup$ Thank you very much, Seierstad. $\endgroup$
    – randallxu
    Commented Sep 27, 2019 at 7:28

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