"Quantum trajectories" are solutions of stochastic differential equations of non-usual type. Such equations are called ``Belavkin'' or ``Stochastic Schrödinger Equations'' and describe random phenomena in continuous measurement theory of Open Quantum System. Many recent investigations deal with the control theory in such model. In this article, stochastic models are mathematically and physically justified as limit of concrete discrete procedures called ``Quantum Repeated Measurements''. In particular, this gives a rigorous justification of the Poisson and diffusion approximation in quantum measurement theory with control. Furthermore we investigate some examples using control in quantum mechanics.
In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, diffusion models can be obtained from these equations as approximation. A condition for a general diffusion approximation for jump master equations is presented. This approximation is rigorously proved by using techniques for Markov processes which are based upon the convergence of Markov generators and martingale problems. This result is illustrated by rigorously obtaining the diffusion approximation for homodyne and heterodyne detection.