Martingale conditions for the optimal control of continuous time stochastic systems

DOI10.1016/0304-4149(84)90304-1MaRDI QIDQ800033zbMATH OpenOpenAlexFDO

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

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)

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

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(20)

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• Optimal control of martingales in a radially symmetric environment
• Encounters with Martingales in Stochastic Control

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