Representations of Itô Processes

DOI10.1137/1117016MaRDI QIDQ4056810zbMATH OpenOpenAlexFDO

Authors M. P. Ershov

Publication date 1972

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1117016

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Cited in

(5)

• Optimal control of a dynamic system with random parameters under incomplete information
• Non-anticipative representations of Banach space valued Gaussian processes with respect to Brownian motion
• Infinite-dimensional Wiener processes with drift
• Optimal control for a class of partially observable systems^†
• On the existence of weak solutions to stochastic differential equations with degenerate diffusion

This page was built for publication: Representations of Itô Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4056810)