@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://www.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://www.numdam.org/item/SPS_1980__14__256_0/ LA - fr ID - SPS_1980__14__256_0 ER -
Fujisaki, Masatoshi. Contrôle stochastique continu et martingales. Séminaire de probabilités de Strasbourg, Tome 14 (1980), pp. 256-281. http://www.numdam.org/item/SPS_1980__14__256_0/
[1]. Linear quadratic optimal stochastic control with random coefficients, SIAM J. Control 14(1976), p.419-444. | MR | Zbl
,[2]. Dynamic programming conditions for partially observable stochastic systems, SIAM, J. Control, 11 (1973), p.226-261. | MR | Zbl
and ,[3]. Foundations of the theory of Markov processes, English translation: Pergamon Press 1960. | MR | Zbl
,[4]. Cours de l'Ecole d'été de calcul des probabilités, 1979.
,[5]. The optimal control of a stochastic system, SIAM, J. Control, 15 (1977), p.756-778. | MR | Zbl
,[6]. Deterministic and stochastic control, 1975, Springer. | MR | Zbl
and ,[7]. On stochastic control of a Wiener process, J. Math. Kyoto Univ. 18-2 (1978), p.229-238. | MR | Zbl
,[8]. On the uniqueness of optimal controls, Séminaire de probabilités XIII, Lecture notes in M. 721, Springer 1979. | Numdam | MR | Zbl
,[9]. 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]. A comparison theorem for solutions of stochastic differential equations and its applications, Osaka J. Math. 14 (1977), p.619-633. | MR | Zbl
and ,[11]. Calcul stochastique et problèmes de martingales, Lecture notes in M. 714, 1979 Springer. | MR | Zbl
,[12]. Etude des solutions extrémales et représentation intégrale des solutions pour certains problèmes de martingales, Z.W. 38 (1977), p.83-125. | MR | Zbl
et ,[13]. Statistics of stochastic processes, Springer Verlag 1977.
and ,[14]. Necessary and sufficient dynamic programming conditions for continuous time stochastic optimal control, SIAM J. Control, 8 (1970), p.559-571. | MR | Zbl
,[15]. On the uniqueness of solutions of stochastic differential equations, J. Math. Kyoto Univ. 11 (1971), p.156-167. | MR | Zbl
and ,[16]. Remarques sur la représentation des martingales comme intégrales stochastiques, Séminaire de Probabilités XI, Lecture Notes in M. 581, Springer 1977. | Numdam | MR | Zbl
,