Nonanticipative risk sensitive control: the martingale method.

DOI10.1016/S0167-7152(03)00151-2zbMath1116.60339OpenAlexW2019136780MaRDI QIDQ1423138

Jean-Pierre Lepeltier

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00151-2

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)

Cites Work

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• Calcul stochastique et problèmes de martingales
• Martingale conditions for the optimal control of continuous time stochastic systems
• Existence of Optimal Stochastic Control Laws
• On the Existence of Optimal Policies in Stochastic Control
• Dynamic Programming Conditions for Partially Observable Stochastic Systems

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