Stochastic control by measure transformation: A general existence result

DOI10.1016/0020-0255(80)90029-8zbMath0454.93057OpenAlexW2075514830MaRDI QIDQ1149937

Michael Kohlmann, Mark H. A. Davis

Publication date: 1980

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0020-0255(80)90029-8

zbMATH Keywords

martingalesemimartingale

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99)

Cites Work

• Transformation of local martingales under a change of law
• Existence of Optimal Controls for Stochastic Jump Processes
• Optimal Control of Jump Processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• On the Existence of Optimal Policies in Stochastic Control
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
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