Remote Access Bulletin of the American Mathematical Society

Bulletin of the American Mathematical Society

ISSN 1088-9485(online) ISSN 0273-0979(print)



A stochastic minimum principle

Author: Robert J. Elliott
Journal: Bull. Amer. Math. Soc. 82 (1976), 944-946
MSC (1970): Primary 93E20; Secondary 60H10
MathSciNet review: 0426926
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  • 3. Wendell H. Fleming, Optimal continuous-parameter stochastic control, SIAM Rev. 11 (1969), 470–509. MR 0265046,
  • 4. I. V. Girsanov, On transforming a class of stochastic processes by absolutely continuous substitution of measures, Teor. Verojatnost. i Primenen. 5 (1960), 314–330 (Russian, with English summary). MR 0133152
  • 5. P. A. Meyer, Un cours sur les intégrales stochastiques, Séminaire de Probabilités, X (Seconde partie: Théorie des intégrales stochastiques, Univ. Strasbourg, Strasbourg, année universitaire 1974/1975), Springer, Berlin, 1976, pp. 245–400. Lecture Notes in Math., Vol. 511 (French). MR 0501332
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