A matrix representation of fields and filtrations and its application to stochastic control problems

DOI10.1080/02522667.1997.10699315MaRDI QIDQ4354093zbMATH OpenOpenAlexFDO

Authors Teruo Tanaka

Publication date 31 March 1998

Published in Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02522667.1997.10699315

zbMATH Keywords

stochastic processesfiltrationstochastic fieldsstopping problem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Recommendations

• Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
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• Generalized Solutions in Nonlinear Stochastic Control Problems

Cites work

• scientific article; zbMATH DE number 862533 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Compactness of stopping times
• Markov strategies for optimal control problems indexed by a partially ordered set
• On randomized stopping points and perfect graphs
• Optimal stopping and supermartingales over partially ordered sets
• Two parameter optimal stopping and bi-Markov processes

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