Josa-Fombellida, RicardoRincón-Zapatero, Juan Pablo2012-10-042012-10-042007Journal of Optimization Theory and Applications. 2007, vol. 135, nº 1, p. 163-1770022-3239https://hdl.handle.net/10016/5569The original publication is available at www.springerlink.comThis paper provides new insights into the solution of optimal stochastic control problems by means of a system of partial differential equations, which characterize directly the optimal control. This new system is obtained by the application of the stochastic maximum principle at every initial condition, assuming that the optimal controls are smooth enough. The type of problems considered are those where the diffusion coefficient is independent of the control variables, which are supposed to be interior to the control region.application/pdftext/plaineng© SpringerOptimal stochastic controlItòs formulaHalminton-Jacobi-Bellman equationSemilinear equationresearch articleEconomía10.1007/s10957-007-9262-5open access1631177Journal of Optimization Theory and Applications135