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Martingale ideology in the theory of controlled stochastic processes

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

Keywords

  • Optimality Principle
  • Local Martingale
  • Predictable Process
  • Martingale Problem
  • Admissible Strategy

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References

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© 1983 Springer-Verlag Berlin Heidelberg

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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

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

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-12718-5

  • Online ISBN: 978-3-540-38701-5

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