Martingale measures and stochastic calculus

DOI10.1007/BF01288560zbMath0694.60041MaRDI QIDQ909341

Sylvie Méléard, Nicole El Karoui

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

white noisemartingale measuremartingale problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)

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Cites Work

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• A certain class of diffusion processes associated with nonlinear parabolic equations
• Weak and strong solutions of stochastic differential equations
• [https://portal.mardi4nfdi.de/wiki/Publication:4131394 Repr�sentation des processus ponctuels multivari�s � l'aide d'un processus de Poisson]
• Compactification methods in the control of degenerate diffusions: existence of an optimal control

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