Abstract.
A supermartingale characterization of sets of stochastic integrals is given along with its applications to control and diffusion approximation. The characterization is convenient for passing to the limit. Under natural conditions it is proved that the set of distributions of controlled diffusion processes is convex and compact.
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Received: 16 July 2001 / Revised version: 1 November 2001 / Published online: 12 July 2002
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Krylov, N. A supermartingale characterization of sets of stochastic integrals and applications. Probab Theory Relat Fields 123, 521–552 (2002). https://doi.org/10.1007/s004400100190
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DOI: https://doi.org/10.1007/s004400100190
Keywords
- Natural Condition
- Diffusion Process
- Diffusion Approximation
- Control Diffusion
- Stochastic Integral