Contrôle de processus de Markov

Nicole El Karoui; Monique Jeanblanc Picque

Séminaire de probabilités de Strasbourg (1988)

  • Volume: 22, page 508-541

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El Karoui, Nicole, and Jeanblanc Picque, Monique. "Contrôle de processus de Markov." Séminaire de probabilités de Strasbourg 22 (1988): 508-541. <http://eudml.org/doc/113652>.

@article{ElKaroui1988,
author = {El Karoui, Nicole, Jeanblanc Picque, Monique},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Markov process; exponential supermartingale; dynamic programming principle; Hamilton-Jacobi-Bellman equation},
language = {fre},
pages = {508-541},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Contrôle de processus de Markov},
url = {http://eudml.org/doc/113652},
volume = {22},
year = {1988},
}

TY - JOUR
AU - El Karoui, Nicole
AU - Jeanblanc Picque, Monique
TI - Contrôle de processus de Markov
JO - Séminaire de probabilités de Strasbourg
PY - 1988
PB - Springer - Lecture Notes in Mathematics
VL - 22
SP - 508
EP - 541
LA - fre
KW - Markov process; exponential supermartingale; dynamic programming principle; Hamilton-Jacobi-Bellman equation
UR - http://eudml.org/doc/113652
ER -

References

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  1. [Bi] J.M. BismutThéorie probabiliste du contrôle des diffusions MémoirsAmer. Math Soc.167 (1975) Zbl0323.93046
  2. [B.G] R.M. Blumenthal, R.K. GetoorMarkov Processes and Potential theory. Academic Press - 1968 Zbl0169.49204
  3. [B.Y.] P. Bremaud, M. Yor. Changes of filtrations and of probability measures. Z.Wahrsch.Verw.gebiete.45 (1978) 269-295. Zbl0415.60048
  4. [C.J.P.S.] E. Cinlar, J. Jacod, P. Protter, M.J. Sharpe. Semi-martingales and Markov processes. Z.Wahrsch.Verw.Gebiete.54 (1980) 161-219. Zbl0443.60074
  5. [Da] M.H.A. Davis. On the existence of optimal policies in stochastic control. SIAM journal of control11 (1973) 587-594 Zbl0238.93044
  6. [E.H.J.1] N. El Karoui, D. Huu Nguyen, M. Jeanblanc Picque. Compactification methods in the control of degenerate diffusions. Existence of an optimal control.Stochastics20 (1987) 169-219 Zbl0613.60051
  7. [E.H.J.2] N. El Karoui, D. Huu Nguyen, M. Jeanblanc Picque. Existence of an optimal markovian filter for the control under partial observations. To appear in SIAM journal of Control Zbl0657.60063
  8. [E.L.M] N. El Karoui, J.P. Lepeltier, A. Millet. A probabilistic approach of the reduite. Submitted to Probability theory and related fields Zbl0777.60034
  9. [E.K] N. El Karoui. Les aspects probabilistes du contrôle stochastique. Ecole d'été de Saint Flour1979Lect. Notes in Math. n°876. 74-239. Springer Verlag. Zbl0472.60002
  10. [El] R.J. Elliot. The optimal control of a stochastic system. SIAM Journal of Control15 (1977) Zbl0359.93046
  11. [Fö] H. Follmer. The exit measure of a supermartingale. Z.Wahrsch Verw.Gebiete21 (1972) 154-166 Zbl0231.60033
  12. [Ge] R.K. Getoor. Markov Processes:Ray Processes and Right Processes. Lecture notes in mathematics440. Springer Verlag1975. Zbl0299.60051
  13. [J.M.] J. Jacod, J. Memin. Sur un type de convergence intermédiaire entre la convergence en loi et la convergence en probabilité. Séminaire de Strasbourg XV. Lecture notes in mathematics n°850. Springer Verlag.1979-1980. Zbl0458.60016
  14. [Kr] N.V. Krylov. Controlled diffusion processes. Springer Verlag(1980) Zbl0459.93002
  15. [L.M.] D. Lepingle, J. Memin . Intégrabilité uniforme et dans Lr des martingales exponentielles. Séminaire de probabilité. Rennes1978 Zbl0375.60069
  16. [Ya] J.A. Yan. A propos de l'intégrabilite uniforme des martingales exponentielles. Séminaire de Strasbourg XVI. Lecture notes in mathematics920. Springer Verlag . Zbl0484.60038
  17. [Yo] Ch. Yoeurp. Décomposition des martingales locales et formules exponentielles. Séminaire de Strasbourg X. Lecture notes in mathematics511. Springer Verlag.1976 Zbl0346.60033

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