Representation and approximation of martingale measures
[For the entire collection see Zbl 0754.00020.] This work gives a comprehensive view of recent results about continuous orthogonal martingale measures and many applications. In the first part a representation theorem is presented: each continuous orthogonal martingale measure is the image measure of a time changed white noise. This result allows to exhibit a stochastic differential equation whose measure-valued branching processes are solutions. The second part concerns some vector martingales, which come from an interesting class of random martingale problems. One gives a useful representation of these vector martingales as stochastic integrals of martingale measures. This theorem has applications in control theory and for some interacting particle systems. The third part gives stability results for continuous orthogonal martingale measures with finite covariance measure and develops applications in control theory.
- Martingale representation for degenerate diffusions
- Explicit form and robustness of martingale representations.
- Control and optimal stopping mean field games: a linear programming approach
- Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure
- Existence and optimality conditions for relaxed mean-field stochastic control problems
- APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES
- scientific article; zbMATH DE number 3896022 (Why is no real title available?)
- scientific article; zbMATH DE number 503140 (Why is no real title available?)
- scientific article; zbMATH DE number 2046396 (Why is no real title available?)
- On the relaxed mean-field stochastic control problem
- scientific article; zbMATH DE number 917872 (Why is no real title available?)
- A Martingale Representation for Matching Estimators
- Stability of McKean-Vlasov stochastic differential equations and applications
- Approximation of solutions of mean-field stochastic differential equations
- On the stability of mean-field stochastic differential equations with irregular expectation functional
- scientific article; zbMATH DE number 5587303 (Why is no real title available?)
- Admissible representations for probability measures
- Martingale representation and all that
- On optimal control of coupled mean-field forward-backward stochastic equations
- Continuous time reinforcement learning: a random measure approach
- On the existence of optimal controls for reflected McKean-Vlasov stochastic differential equations
- Martingale representations for functionals of Lévy processes
- A new martingale representation theorem (discrete time)
This page was built for publication: Representation and approximation of martingale measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4029027)
