Skip to main content
SpringerLink
Log in

Martingale ideology in the theory of controlled stochastic processes

  • Conference paper
  • First Online:
Probability Theory and Mathematical Statistics

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 1021))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 54.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 69.95
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. A. N. Shiryaev, Martingales: Recent Developments, Results and Applications, Int. Stat. Review., 1981, v. 49, 3, p. 199–233.

    Article  MATH  MathSciNet  Google Scholar 

  2. J. Jacod, Calcul stochastique et preblemes de martingales, Lecture Notes in Mathematics, Berlin, Heidelberg, New York, Springer-Verlag, 1979, v. 714.

    Google Scholar 

  3. Ю. М. Кабанов, Р. Ш. Липцер, А. Н. Ширяев, Абсолютная непрерывность и сингулярность локально абсолютно непрерывных вероятностных распределений, Мат. сборник, 1978, 107, 3, c. 364–415 и 1979, 108, 1, c. 32–61.

    Google Scholar 

  4. И. И. Гихман, А. В. Скороход, Стохастические дифференциальные уравнения,-Киев: "Наукова думка", 1968.

    Google Scholar 

  5. И. И. Гихман, А. В. Скороход, Теория случайных процессов, т.3-М.: Наука, 1975.

    Google Scholar 

  6. И. И. Гихмах, А. В. Скороход, Стохастические дифференциальные уравнения и их приложения, "Наукова думка", Киев, 1982.

    Google Scholar 

  7. H. Kunita, S. Watanabe, On square integrable martingales, Nagoya Math. Inst., 9, 1967, 30, 209–245.

    MathSciNet  Google Scholar 

  8. Ж. Неве, Математические основы теории вероятностей, М.: Мир, 1969.

    Google Scholar 

  9. V. E. Beneš, Existence of optimal stochastic control laws, SIMS J. Control, 1971, v. 3, p. 446–472.

    Google Scholar 

  10. M. H. A. Davis, On the existence of optimal policies in stochastic control, SIAM J. Control, 1973, v. 11, 4, p. 587–594.

    Article  MATH  MathSciNet  Google Scholar 

  11. M. Kohlmann, A martingale approach to optimal control of jump processes, Oper. Res.-Verfahren, 1977, 28, p. 168–182.

    Google Scholar 

  12. Н. В. Крылов, Управляемые процессы диффузионного типа, М. "Наука", 1977.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Institute of Economics & Law of the Georgian SSP. Acad. of Sci., Tbilisi

    R. J. Chitashvili

Authors
  1. R. J. Chitashvili
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Steklov Mathematical Institute of the Academy of Sciences of the USSR, Vavilov str. 42, Moscow, 117966, USSR

    Jurii V. Prokhorov

  2. Department of Mathematics, Gakushuin University, 1-5-1 Mejiro, Toshima- ku, Tokyo, Japan

    Kiyosi Itô

Rights and permissions

Reprints and permissions

Copyright information

© 1983 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Chitashvili, R.J. (1983). Martingale ideology in the theory of controlled stochastic processes. In: Prokhorov, J.V., Itô, K. (eds) Probability Theory and Mathematical Statistics. Lecture Notes in Mathematics, vol 1021. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0072905

Download citation

  • DOI: https://doi.org/10.1007/BFb0072905

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-12718-5

  • Online ISBN: 978-3-540-38701-5

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation