A supermartingale characterization of sets of stochastic integrals and applications (Q1849351)
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scientific article; zbMATH DE number 1836999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A supermartingale characterization of sets of stochastic integrals and applications |
scientific article; zbMATH DE number 1836999 |
Statements
A supermartingale characterization of sets of stochastic integrals and applications (English)
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1 December 2002
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A supermartingale characterization of sets of stochastic integrals is given along with its applications to control and diffusion approximation. The characterization is convenient for passing to the limit. Under natural conditions it is proved that the set of distributions of controlled diffusion processes is convex and compact.
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diffusion approximation
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weak convergence
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optimal control
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