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ArticleControl of a Solution of a Stochastic Integral Equation

Nicolai V. Krylov1972

Article1972

Control of a Solution of a Stochastic Integral Equation

Nicolai V. Krylov

78 citations·0/0 files stored·Theory of Probability and Its Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stability and Controllability of Differential Equations

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References

1969On Itô’s Stochastic Integral Equations

Cited by

1976On a Non-Linear Semi-Group Attached to Stochastic Optimal Control 1983On the Hamilton-Jacobi-Bellman equations 2015Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients 2005Martingale methods in stochastic control 2015Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations 1974SOME ESTIMATES OF THE PROBABILITY DENSITY OF A STOCHASTIC INTEGRAL

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1997Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noisearticle · 1 shared reference 2005On Weak Solutions of Backward Stochastic Differential Equationsarticle · 1 shared reference 1998Linear Parabolic Stochastic PDE and Wiener Chaosarticle · 1 shared reference 1971An Inequality in the Theory of Stochastic Integralsarticle · 1 shared reference 1983Stochastic equations and krylov's estimates for semimartingalesarticle · 1 shared reference 1979A decomposition of additive functionals of finite energyarticle · 1 shared reference

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Year1972

Typearticle

Published1972-01-01

VenueTheory of Probability and Its Applications

ISSN-L0040-585X

Languageen

Citations78

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1137/1117009

openalex_workW2062397936

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