This is a preview of subscription content, log in via an institution to check access.
Literature Cited
N. V. Krylov, “Controlled diffusion processes,” Teor. Veroyatn. Primen.,31, No. 4, 685–709 (1986).
S. V. Anulova and G. Pragarauskas, “Weak Markov solutions of stochastic equations,” Liet. Mat. Rinkinys,17, No. 2, 5–26 (1977).
B. Grigelionis and R. Mikulyavichyus, “Stable weak convergence of semimartingales and point processes,” Teor. Veroyatn. Primen.,28, No. 2, 320–332 (1983).
R. Mikulyavichyus and G. Pragarauskas, “Green's measures of Ito processes,” Liet. Mat. Rinkinys,27, No. 4, 711–723 (1987).
R. Mikulevicius and H. Pragaruskas, “On Hölder continuity of solutions of certain integrodifferential equations,” in: Proceedings of the 1st Finnish-Soviet Symp. on Probab. Theory (1988).
O. A. Ladyzhenskaya, V. A. Solonnikov, and N. N. Ural'tseva, Linear and Quasilinear Equations of Parabolic Type [in Russian], Nauka, Moscow (1967).
M. F. Sainte-Beuve, “On the extension of von Neumann-Aumann's theorem,” J. Funct. Anal.,17, 112–129 (1974).
J. Jacod, J. Memin, and M. Metivier, “On tightness and stopping times,” Stochastic Processes Appl.,14, 109–146 (1983).
J. Jacod, Calcul Stochastique et Problemes de Martingales, Springer-Verlag, Berlin (1979).
D. Stroock, “Diffusion processes associated with Levy generators,” Z. Wahrsch.,32, No. 3, 209–244 (1975).
U. G. Haussmann, “Existence of optimal Markovian controls for degenerate diffusions,” Lect. Notes Control Inform. Sci.,78, 171–186 (1986).
N. El Karoui, Nguyen Du Huu, and M. Jeanblanc-Picque, “Compactification methods in the control of degenerate diffusions: existence of an optimal control,” Preprint.
Additional information
Institute of Mathematics and Cybernetics, Academy of Sciences of the Lithuanian SSR. Translated from Litovskii Matematicheskii Sbornik (Lietuvos Matematikos Rinkinys), Vol. 29, No. 2, pp. 312–327, April–June, 1989.
Rights and permissions
About this article
Cite this article
Mikulevicius, R., Pragarauskas, H. Optimal Markov strategies for controlled ito processes. Lith Math J 29, 146–158 (1989). https://doi.org/10.1007/BF00966076
Received:
Issue Date:
DOI: https://doi.org/10.1007/BF00966076