Contrôle stochastique continu et martingales

Masatoshi Fujisaki

Séminaire de probabilités de Strasbourg (1980)

  • Volume: 14, page 256-281

How to cite


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

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 = {},
volume = {14},
year = {1980},

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 -
ER -


  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

NotesEmbed ?


You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.


Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.