Martingale conditions for the optimal control of continuous time stochastic systems

DOI10.1016/0304-4149(84)90304-1zbMATH Open0549.60037OpenAlexW2016931803MaRDI QIDQ800033FDOQ800033

Authors: Charlotte Striebel 

Publication date: 1984

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90304-1

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zbMATH Keywords

continuous time control problemmartingale condition

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

Cites Work

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• Stochastic differential equations for the non linear filtering problem
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• On the Separation Theorem of Stochastic Control
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control

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• The value function in ergodic control of diffusion processes with partial observations
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• The martingale maximum principle and the allocation of labour surplus
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• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Optimal Dynamic Information Acquisition
• Risk-sensitive control of pure jump process on countable space with near monotone cost
• Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation
• Dynamic programming for ergodic control with partial observations.
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• Arrow-Mangasarian Sufficient Conditions for Controlled Semimartingales
• Conditional essential suprema with applications
• Optimal control of martingales in a radially symmetric environment
• Encounters with Martingales in Stochastic Control

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