Martingale conditions for the optimal control of continuous time stochastic systems

DOI10.1016/0304-4149(84)90304-1zbMath0549.60037OpenAlexW2016931803MaRDI QIDQ800033

Charlotte Striebel

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90304-1

zbMATH Keywords

continuous time control problemmartingale condition

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items

The probabilistic structure of controlled diffusion processes ⋮ Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation ⋮ Unnamed Item ⋮ Encounters with Martingales in Stochastic Control ⋮ Dissipative stochastic dynamical systems ⋮ Optimal Dynamic Information Acquisition ⋮ Stochastic control of two-parameter processes application:the two-armed bandit problem ⋮ Risk-sensitive control of pure jump process on countable space with near monotone cost ⋮ Nonanticipative risk sensitive control: the martingale method. ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ The value function in ergodic control of diffusion processes with partial observations ⋮ Dynamic programming for ergodic control with partial observations. ⋮ Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic differential equations for the non linear filtering problem
• On the Separation Theorem of Stochastic Control
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control