Semimartingale Models of Stochastic Optimal Control, with Applications to Double Martingales
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Publication:3899096
DOI10.1137/0318038zbMath0452.49032OpenAlexW2088214010MaRDI QIDQ3899096
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Publication date: 1980
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0318038
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Optimality conditions for problems involving randomness (49K45)
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