A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems (Q1086915)
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| Language | Label | Description | Also known as |
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| English | A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems |
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A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems (English)
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1986
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Under appropriate conditions, a sequence of stochastic processes which solve stochastic differential equations involving integrals with respect to martingale measures is shown to converge in the law sense to the solution of an Ito type SDE. Applications to storage processes, random walks, and optimal control problems are given.
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integrals with respect to martingale measures
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optimal control problems
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