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Optimal stochastic control in terms of martingales

Published online by Cambridge University Press:  01 July 2016

G. Farlay
G. Farlay*
Affiliation:
University of Namur, Belgium
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Abstract

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Type
Fifth Conference on Stochastic Processes and their Applications
Information
Advances in Applied Probability , Volume 8 , Issue 2 , June 1976 , pp. 241
Copyright
Copyright © Applied Probability Trust 1976 

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References

[1] Frid, E. B. (1972) On optimal strategies in control problems with constraints. Theor. Prob. Appl. 17, 188–192.Google Scholar
[2] Neveu, J. (1972) Martingales à Temps Discret. Masson, Paris.Google Scholar