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Contrôle stochastique, jeux et temps d’arret: Applications de la théorie probabiliste du potentiel. (French) Zbl 0342.60037


MSC:

60G40 Stopping times; optimal stopping problems; gambling theory
60J45 Probabilistic potential theory
93E20 Optimal stochastic control
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References:

[1] Azema, J., Le retournement du temps, Ann. Sci. école. norm. sup. 4è Sér., 6, 459-519 (1973) · Zbl 0303.60061
[2] Bensoussan, A.; Friedman, A., Non linear variational inequalities and differential games with stopping times, J. functional Anal., 16, 3, 305-352 (1974) · Zbl 0297.90120
[3] Bismut, J. M., Théorie probabiliste du contrÔle des diffusions, Mem. Trans. Amer. math. Soc., 4, 167 (1976) · Zbl 0323.93046
[4] Bismut, J. M., Dualité convexe, temps d’arrÊt optimal et contrÔle stochastique, Z. Wahrscheinlichkeitstheorie und verw. Gebiete, 38, 169-198 (1977) · Zbl 0336.60070
[5] Bismut, J.M.: Sur un problème de Dynkin. Z. Wahrscheinlichkeitstheorie verw. Gebiete. [A paraÎtre]
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[9] Meyer, P. A., Exposé sur les diffusions à coefficients continus. Séminaire de Probabilités nℴ 4. Lecture notes in Mathematics124, 241-282 (1970), Berlin-Heidelberg-New York: Springer, Berlin-Heidelberg-New York
[10] Meyer, P. A., Probabilités et potentiels (1966), Paris: Hermann, Paris · Zbl 0138.10402
[11] Meyer, P. A., Intégrales stochastiques. Séminaire de Probabilités X. Lecture Notes in Mathematics511, 245-400 (1976), Berlin-Heidelberg-New York: Springer Verlag, Berlin-Heidelberg-New York · Zbl 0319.00007
[12] Rockafellar, R. T., Measurable dependence of convex sets and functions on parameters, J. Math. Analysis Appl., 28, 4-25 (1969) · Zbl 0202.33804
[13] Rost, H., The stopping distribution of a Markov process, Inventiones. math., 14, 1-16 (1971) · Zbl 0225.60025
[14] Stroock, D. W.; Varadhan, S. R.S., Diffusion processes with continuous coefficients, Commun. pure appl. Math., XXII, 345-400 (1969) · Zbl 0167.43903
[15] Stroock, D. W., Diffusion processes associated with Lévy generators, Z. Wahrscheinlichkeits-theorie und verw. Gebiete, 32, 205-244 (1975) · Zbl 0292.60122
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