A matrix representation of fields and filtrations and its application to stochastic control problems

DOI10.1080/02522667.1997.10699315zbMath0885.60036OpenAlexW2015094837MaRDI QIDQ4354093

Teruo Tanaka

Publication date: 31 March 1998

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1997.10699315

zbMATH Keywords

filtrationstochastic processesstochastic fieldsstopping problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Markov strategies for optimal control problems indexed by a partially ordered set
• On randomized stopping points and perfect graphs
• Two parameter optimal stopping and bi-Markov processes
• Optimal stopping and supermartingales over partially ordered sets
• Compactness of stopping times
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