Contrôle stochastique continu et martingales

Masatoshi Fujisaki

Séminaire de probabilités de Strasbourg (1980)

  • Volume: 14, page 256-281

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Fujisaki, Masatoshi. "Contrôle stochastique continu et martingales." Séminaire de probabilités de Strasbourg 14 (1980): 256-281. <http://eudml.org/doc/113289>.

@article{Fujisaki1980,
author = {Fujisaki, Masatoshi},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {stochastic control; martingale; stochastic differential equations},
language = {fre},
pages = {256-281},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Contrôle stochastique continu et martingales},
url = {http://eudml.org/doc/113289},
volume = {14},
year = {1980},
}

TY - JOUR
AU - Fujisaki, Masatoshi
TI - Contrôle stochastique continu et martingales
JO - Séminaire de probabilités de Strasbourg
PY - 1980
PB - Springer - Lecture Notes in Mathematics
VL - 14
SP - 256
EP - 281
LA - fre
KW - stochastic control; martingale; stochastic differential equations
UR - http://eudml.org/doc/113289
ER -

References

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  1. [1]. J.M. Bismut, Linear quadratic optimal stochastic control with random coefficients, SIAM J. Control14(1976), p.419-444. Zbl0331.93086MR406663
  2. [2]. M.H.A. Davis and P. Varaiya, Dynamic programming conditions for partially observable stochastic systems, SIAM, J. Control, 11 (1973), p.226-261. Zbl0258.93029MR319642
  3. [3]. E.B. Dynkin, Foundations of the theory of Markov processes, English translation: Pergamon Press1960. Zbl0091.13605MR193669
  4. [4]. N. El-Karoui, Cours de l'Ecole d'été de calcul des probabilités, 1979. 
  5. [5]. R.J. Elliott, The optimal control of a stochastic system, SIAM, J. Control, 15 (1977), p.756-778. Zbl0359.93046MR456864
  6. [6]. W.H. Fleming and R.W. Rishel, Deterministic and stochastic control, 1975, Springer. Zbl0323.49001MR454768
  7. [7]. M. Fujisaki, On stochastic control of a Wiener process, J. Math. Kyoto Univ.18-2 (1978), p.229-238. Zbl0406.93062MR529454
  8. [8]. M. Fujisaki, On the uniqueness of optimal controls, Séminaire de probabilités XIII, Lecture notes in M.721, Springer1979. Zbl0411.93042MR544823
  9. [9]. I.V. Girsanov, On transforming a certain class of stochastic processes by absolutely continuous substitution of measures, Theory of Prob, and its appl.5(1960), p.285-301. Zbl0100.34004MR133152
  10. [10]. N. Ikeda and S. Watanabe, A comparison theorem for solutions of stochastic differential equations and its applications, Osaka J. Math.14 (1977), p.619-633. Zbl0376.60065MR471082
  11. [11]. J. Jacod, Calcul stochastique et problèmes de martingales, Lecture notes in M.714, 1979Springer. Zbl0414.60053MR542115
  12. [12]. J. Jacod et M. Yor, Etude des solutions extrémales et représentation intégrale des solutions pour certains problèmes de martingales, Z.W.38 (1977), p.83-125. Zbl0346.60032MR445604
  13. [13]. R.S. Liptzer and A.N. Shiryaev, Statistics of stochastic processes, Springer Verlag1977. 
  14. [14]. R. Rishel, Necessary and sufficient dynamic programming conditions for continuous time stochastic optimal control, SIAM J. Control, 8 (1970), p.559-571. Zbl0206.45804MR274161
  15. [15]. T. Yamada and S. Watanabe, On the uniqueness of solutions of stochastic differential equations, J. Math. Kyoto Univ.11 (1971), p.156-167. Zbl0236.60037MR278420
  16. [16]. M. Yor, Remarques sur la représentation des martingales comme intégrales stochastiques, Séminaire de Probabilités XI, Lecture Notes in M.581, Springer1977. Zbl0367.60046MR458580

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