Representation of Martingales, Quadratic Variation and Applications
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Publication:5180166
DOI10.1137/0309044zbMath0272.60041OpenAlexW2128602893MaRDI QIDQ5180166
Publication date: 1971
Published in: SIAM Journal on Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0309044
Related Items (13)
The probabilistic structure of controlled diffusion processes ⋮ Singular control with state constraints on unbounded domain ⋮ Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Mimicking finite dimensional marginals of a controlled diffusion by simpler controls ⋮ ``Minimum toll control of diffusions ⋮ Optimal transportation under controlled stochastic dynamics ⋮ Existence of an optimal control for stochastic systems governed by Ito equations ⋮ Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions ⋮ Stochastic optimal transport with free end time ⋮ On the existence of weak solutions to stochastic differential equations with degenerate diffusion ⋮ A class of adaptive control problems solved via stochastic control ⋮ Existence results for optimal stochastic controls ⋮ Existence of optimal controls for partially observed diffusions
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