Representations of Itô Processes

DOI10.1137/1117016zbMath0301.60056OpenAlexW2025339019MaRDI QIDQ4056810

M. P. Ershov

Publication date: 1972

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1117016

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (5)

Optimal control for a class of partially observable systems^† ⋮ Infinite-dimensional Wiener processes with drift ⋮ Optimal control of a dynamic system with random parameters under incomplete information ⋮ Non-anticipative representations of Banach space valued Gaussian processes with respect to Brownian motion ⋮ On the existence of weak solutions to stochastic differential equations with degenerate diffusion

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