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Martingale ideology in the theory of controlled stochastic processes · Study

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ChapterMartingale ideology in the theory of controlled stochastic processes

R. J. Chitashvili1983

Chapter1983

Martingale ideology in the theory of controlled stochastic processes

R. J. Chitashvili

36 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Probability and Statistical Research Adaptive Dynamic Programming Control

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References

1979Calcul Stochastique et Problèmes de Martingales 1967On Square Integrable Martingales 1971Existence of Optimal Stochastic Control Laws 1973On the Existence of Optimal Policies in Stochastic Control

Cited by

2008Backward stochastic partial differential equations related to utility maximization and hedging 2003A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow 2008Mean-Variance Hedging Under Partial Information 2003A Unified Characterization of 𝑞-Optimal and Minimal Entropy Martingale Measures by Semimartingale Backward Equations

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2005Martingale methods in stochastic controlchapter · 3 shared references 1992Mean-Variance Hedging for General Claimsarticle · 2 shared references 1973Dynamic Programming Conditions for Partially Observable Stochastic Systemsarticle · 2 shared references 1980Semimartingales and Markov processesarticle · 2 shared references 1975Martingales on Jump Processes. I: Representation Resultsarticle · 2 shared references 1977Optimal Control of Jump Processesarticle · 2 shared references

Details

Year1983

Typechapter

Published1983-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0072905

openalex_workW146704566

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