Optimal Control of Stochastic Ito Differential Systems with Fixed Terminal Time. Ahmed, N. U. & Teo, K. L. Advances in Applied Probability, 7(1):154–178, March, 1975.
Optimal Control of Stochastic Ito Differential Systems with Fixed Terminal Time [link]Paper  doi  bibtex   
@Article{Ahmed:1975:OCS,
  author =       "N. U. Ahmed and K. L. Teo",
  title =        "Optimal Control of Stochastic {Ito} Differential
                 Systems with Fixed Terminal Time",
  journal =      j-ADV-APPL-PROB,
  volume =       "7",
  number =       "1",
  pages =        "154--178",
  month =        mar,
  year =         "1975",
  CODEN =        "AAPBBD",
  DOI =          "https://doi.org/10.2307/1425858",
  ISSN =         "0001-8678 (print), 1475-6064 (electronic)",
  ISSN-L =       "0001-8678",
  bibdate =      "Sat May 3 07:41:00 MDT 2014",
  bibsource =    "http://www.jstor.org/stable/i262223;
                 http://www.math.utah.edu/pub/tex/bib/advapplprob.bib",
  URL =          "http://www.jstor.org/stable/1425858",
  acknowledgement = ack-nhfb,
  ajournal =     "Adv. Appl. Probab.",
  fjournal =     "Advances in Applied Probability",
  journal-URL =  "http://www.jstor.org/journals/00018678.html",
}

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