Approximations to and local properties of diffusions with discontinuous controls

The paper discusses several properties of control systems defined by stochastic differential equations, which are defined by the method of Girsanov, using a transformation of measures, and where the controls are discontinuous. Uniqueness of the multivariate distributions of the process is proved, and it is shown that the process is a limit, in a natural sense, of a certain discrete time approximation. Other questions, concerning the effects on the distributions of the paths, and of the cost of approximating the control by a smooth control and concerning local properties of the solution, are discussed.