Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems (Q3780869)
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scientific article; zbMATH DE number 4043741
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| English | Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems |
scientific article; zbMATH DE number 4043741 |
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Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems (English)
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1987
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nonlinear stochastic differential equation
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inverse Girsanov transformation
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Bellman equation
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defect formula
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maximum principle
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extremal set of controls
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sufficient filtration
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0.8863320350646973
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