scientific article; zbMATH DE number 953302

zbMATH Open0870.60074MaRDI QIDQ4718249FDOQ4718249

Authors: R. Chitashvili, M. Mania 

Publication date: 7 January 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

stochastic differential equationsweak solutionItô processescontrol of diffusionsMarkovian controls

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited In (10)

• Reflecting Ito Processes in a Stochastic Control Problem
• A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.
• Nonanticipative risk sensitive control: the martingale method.
• A generalization of the Itô formula
• Derivatives pricing viap-optimal martingale measures: some extreme cases
• Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
• Controlled diffusion processes. Translated by A. B. Aries
• Multidimensional quadratic and subquadratic BSDEs with special structure
• Backward stochastic partial differential equations related to utility maximization and hedging
• Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition

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