Optional decompositions under constraints
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Publication:1365848
DOI10.1007/S004400050122zbMath0882.60063OpenAlexW1983652428MaRDI QIDQ1365848
Publication date: 9 September 1997
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4466
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)
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