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An essay on the general theory of stochastic processes
General theory of stochastic processes Enlargements of filtrations Random times Submartingales Stopping times Honest times Pseudo-stopping times
2009/5/18
This text is a survey on the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which where d...
Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
Absolutely continuous stochastic process mass transportation problem Salisburyfi problem
2009/4/29
We study the optimal control problem for Rd-valued absolutely continuous stochastic processes with given marginal distributions at every time. When $d=1$, we show the existence and the uniqueness of a...