Stochastic maximum principle for systems driven by local martingales with spatial parameters
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Publication:2671644
DOI10.3934/puqr.2021011zbMath1492.93205arXiv2106.01241OpenAlexW3201918700MaRDI QIDQ2671644
Publication date: 3 June 2022
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.01241
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Optimal stochastic control (93E20)
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