Existence of optimal controls for a partially observed semimartingale

DOI10.1016/0304-4149(82)90036-9zbMath0495.60009OpenAlexW1975351585MaRDI QIDQ1169739

Michael Kohlmann

Publication date: 1982

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(82)90036-9

zbMATH Keywords

optimal controlweak convergence of measuresadmissible controlSkorokhod imbedding and convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Convergence of probability measures (60B10)

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Cites Work

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• Calcul stochastique et problèmes de martingales
• Probability methods for approximations in stochastic control and for elliptic equations
• Existence results for optimal stochastic controls

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