Theory of stochastic processes

DOI10.1007/BF00967186zbMath0474.60001OpenAlexW2316079538MaRDI QIDQ1158878

S. H. Smith

Publication date: 1981

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00967186

zbMATH Keywords

optimal stoppingsemimartingalesinfinitely divisible processcontrol of stochastic processes

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Cites Work

• Martingale characterization of random processes with independent increments
• Stochastic differential equations for the non linear filtering problem
• [https://portal.mardi4nfdi.de/wiki/Publication:4064791 Un th�or�me de repr�sentation pour les martingales discontinues]
• [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales]
• [https://portal.mardi4nfdi.de/wiki/Publication:4131394 Repr�sentation des processus ponctuels multivari�s � l'aide d'un processus de Poisson]
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
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