A supermartingale characterization of sets of stochastic integrals and applications

DOI10.1007/s004400100190zbMath1009.60038OpenAlexW2055621898MaRDI QIDQ1849351

Nicolai V. Krylov

Publication date: 1 December 2002

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400100190

zbMATH Keywords

optimal controlweak convergencediffusion approximation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (2)

Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models ⋮ Optimal arbitrage under model uncertainty

This page was built for publication: A supermartingale characterization of sets of stochastic integrals and applications