Optimal locally absolutely continuous change of measure. finite set of decisions. part i
From MaRDI portal
Publication:3760415
DOI10.1080/17442508708833455zbMath0622.93077OpenAlexW2040520746MaRDI QIDQ3760415
Publication date: 1987
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508708833455
Optimal stochastic control (93E20) Probabilistic measure theory (60A10) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (5)
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. ⋮ Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Backward stochastic partial differential equations related to utility maximization and hedging ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On one-dimensional stochastic differential equations with unit diffusion coefficient. structure of solutions
- Martingales: Recent Developments, Results and Applications
- Optimal Control for Partially Observed Diffusions
- The Optimal Control of a Stochastic System
- On the Stochastic Maximum Principle
- On spaces having linearly homeomorphic spaces of continuous functions in the topology of pointwise convergence
- Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control
- On the Existence of Optimal Policies in Stochastic Control
- CONVEXITY OF VALUES OF VECTOR INTEGRALS, THEOREMS ON MEASURABLE CHOICE AND VARIATIONAL PROBLEMS
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
This page was built for publication: Optimal locally absolutely continuous change of measure. finite set of decisions. part i