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ChapterMartingale problems for controlled processes

Thomas G. Kurtz2005

Chapter2005

Martingale problems for controlled processes

Thomas G. Kurtz

20 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Optimization and Variational Analysis Adaptive Dynamic Programming Control

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References

1983Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I 1976On a Non-Linear Semi-Group Attached to Stochastic Optimal Control 1981Lectures on stochastic control theory

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2009Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance

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Year2005

Typechapter

Published2005-10-27

VenueSpringer eBooks

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0009051

openalex_workW138904887

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