Contr�le de processus alternants et applications

DOI10.1007/BF00535163zbMath0381.60033MaRDI QIDQ4162232

Jean-Michel Bismut

Publication date: 1979

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45) Generalized stochastic processes (60G20) Probabilistic games; gambling (91A60)

Related Items

Non-zero-sum discrete parameter stochastic games with stopping times ⋮ Continuous-time zero-sum stochastic game with stopping and control ⋮ Optimal switching among a finite number of Markov processes ⋮ Convex inequalities in stochastic control ⋮ Dynkin game with asymmetric information ⋮ Zero-sum stochastic games with stopping and control ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:3327436 Contr�le de processus alternants et applications: addendum] ⋮ Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski ⋮ Two parameter optimal stopping and bi-Markov processes ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time ⋮ Reflected backward stochastic differential equations with two optional barriers ⋮ Dynkin games in a general framework ⋮ Dynkin games and martingale methods

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability methods for approximations in stochastic control and for elliptic equations
• Temps d'arret optimal, quasi-temps d'arret et retournement du temps
• Nonlinear variational inequalities and differential games with stopping times
• Nouvelles méthodes en contrôle impulsionnel
• Seminaire de théorie du potentiel, Paris, No.3. Directeurs: M. Brelot, G. Choquet et J. Deny
• Seminaire de probabilités VIII. Universite de Strasbourg
• Measurable dependence of convex sets and functions on parameters
• The stopping distributions of a Markov process
• Séminaire de probabilités VI. Université de Strasbourg. (Seminar of probabilities VI)
• [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
• Strongly supermedian functions and optimal stopping
• Théorie probabiliste du contrôle des diffusions
• Sur un problème de dynkin
• [https://portal.mardi4nfdi.de/wiki/Publication:4104688 Dualit� convexe, temps d'arr�t optimal et contr�le stochastique]
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
• ContrÔle stochastique, jeux et temps d'arrÊt: Applications de la théorie probabiliste du potentiel
• Probability Theory Methods in Zero-Sum Stochastic Games
• [https://portal.mardi4nfdi.de/wiki/Publication:4148562 R�gularit� et continuit� des processus]
• Control of jump processes and applications
• Diffusion processes with continuous coefficients, I
• State Constraints in Convex Control Problems of Bolza
• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]