Contrôle stochastique continu et martingales
Séminaire de probabilités de Strasbourg, Tome 14 (1980), pp. 256-281.
@article{SPS_1980__14__256_0,
     author = {Fujisaki, Masatoshi},
     title = {Contr\^ole stochastique continu et martingales},
     journal = {S\'eminaire de probabilit\'es de Strasbourg},
     pages = {256--281},
     publisher = {Springer - Lecture Notes in Mathematics},
     volume = {14},
     year = {1980},
     mrnumber = {580133},
     zbl = {0436.93054},
     language = {fr},
     url = {http://archive.numdam.org/item/SPS_1980__14__256_0/}
}
TY  - JOUR
AU  - Fujisaki, Masatoshi
TI  - Contrôle stochastique continu et martingales
JO  - Séminaire de probabilités de Strasbourg
PY  - 1980
SP  - 256
EP  - 281
VL  - 14
PB  - Springer - Lecture Notes in Mathematics
UR  - http://archive.numdam.org/item/SPS_1980__14__256_0/
LA  - fr
ID  - SPS_1980__14__256_0
ER  - 
%0 Journal Article
%A Fujisaki, Masatoshi
%T Contrôle stochastique continu et martingales
%J Séminaire de probabilités de Strasbourg
%D 1980
%P 256-281
%V 14
%I Springer - Lecture Notes in Mathematics
%U http://archive.numdam.org/item/SPS_1980__14__256_0/
%G fr
%F SPS_1980__14__256_0
Fujisaki, Masatoshi. Contrôle stochastique continu et martingales. Séminaire de probabilités de Strasbourg, Tome 14 (1980), pp. 256-281. http://archive.numdam.org/item/SPS_1980__14__256_0/

[1]. J.M. Bismut, Linear quadratic optimal stochastic control with random coefficients, SIAM J. Control 14(1976), p.419-444. | MR | Zbl

[2]. M.H.A. Davis and P. Varaiya, Dynamic programming conditions for partially observable stochastic systems, SIAM, J. Control, 11 (1973), p.226-261. | MR | Zbl

[3]. E.B. Dynkin, Foundations of the theory of Markov processes, English translation: Pergamon Press 1960. | MR | Zbl

[4]. N. El-Karoui, Cours de l'Ecole d'été de calcul des probabilités, 1979.

[5]. R.J. Elliott, The optimal control of a stochastic system, SIAM, J. Control, 15 (1977), p.756-778. | MR | Zbl

[6]. W.H. Fleming and R.W. Rishel, Deterministic and stochastic control, 1975, Springer. | MR | Zbl

[7]. M. Fujisaki, On stochastic control of a Wiener process, J. Math. Kyoto Univ. 18-2 (1978), p.229-238. | MR | Zbl

[8]. M. Fujisaki, On the uniqueness of optimal controls, Séminaire de probabilités XIII, Lecture notes in M. 721, Springer 1979. | Numdam | MR | Zbl

[9]. I.V. Girsanov, On transforming a certain class of stochastic processes by absolutely continuous substitution of measures, Theory of Prob, and its appl. 5(1960), p.285-301. | MR | Zbl

[10]. N. Ikeda and S. Watanabe, A comparison theorem for solutions of stochastic differential equations and its applications, Osaka J. Math. 14 (1977), p.619-633. | MR | Zbl

[11]. J. Jacod, Calcul stochastique et problèmes de martingales, Lecture notes in M. 714, 1979 Springer. | MR | Zbl

[12]. J. Jacod et M. Yor, Etude des solutions extrémales et représentation intégrale des solutions pour certains problèmes de martingales, Z.W. 38 (1977), p.83-125. | MR | Zbl

[13]. R.S. Liptzer and A.N. Shiryaev, Statistics of stochastic processes, Springer Verlag 1977.

[14]. R. Rishel, Necessary and sufficient dynamic programming conditions for continuous time stochastic optimal control, SIAM J. Control, 8 (1970), p.559-571. | MR | Zbl

[15]. T. Yamada and S. Watanabe, On the uniqueness of solutions of stochastic differential equations, J. Math. Kyoto Univ. 11 (1971), p.156-167. | MR | Zbl

[16]. M. Yor, Remarques sur la représentation des martingales comme intégrales stochastiques, Séminaire de Probabilités XI, Lecture Notes in M. 581, Springer 1977. | Numdam | MR | Zbl