Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems (Q3780869)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems |
scientific article |
Statements
Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems (English)
0 references
1987
0 references
nonlinear stochastic differential equation
0 references
inverse Girsanov transformation
0 references
Bellman equation
0 references
defect formula
0 references
maximum principle
0 references
extremal set of controls
0 references
sufficient filtration
0 references
0 references
0 references
0 references
