Setwise convergence of solution measures of stochastic differential equations

DOI10.1016/0022-247X(87)90293-9zbMath0621.60063MaRDI QIDQ1090002

Peter Nwanneka Okonta

Publication date: 1987

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Brownian motionGirsanov's theoremchange of measuressetwise convergence of measures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)

Cites Work

• Stability and positive supermartingales
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Optimal Discounted Stochastic Control for Diffusion Processes
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• On the Solutions of a Stochastic Control System
• Existence of Optimal Stochastic Control Laws
• On a Formula Concerning Stochastic Differentials
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