Optimal equivalent probability measures under enlarged filtrations

DOI10.1007/S10957-019-01581-0zbMath1429.93419OpenAlexW2979610750WikidataQ127084902 ScholiaQ127084902MaRDI QIDQ2278882

Markus Hess

Publication date: 11 December 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-019-01581-0

zbMATH Keywords

stochastic differential equationrelative entropyLévy processRadon-Nikodym densitystochastic optimization problemenlarged filtrationstochastic maximum/minimum principle

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)

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