Martingale measures and partially observable diffusions

DOI10.1080/07362999108809232zbMath0736.60072OpenAlexW2003763669MaRDI QIDQ3977276

Nicole El Karoui, Monique Jeanblanc-Picqué

Publication date: 25 June 1992

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

Full work available at URL: https://doi.org/10.1080/07362999108809232

zbMATH Keywords

optimal controlfilterpartial observationsstochastic integral with respect to a martingale measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60)

Cites Work

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• Martingale measures and stochastic calculus
• Unique characterization of conditional distributions in nonlinear filtering
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• On stochastic relaxed control for partially observed diffusions

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