Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
General Stochastic Differential Equations and Control Problems

General Stochastic Differential Equations and Control Problems

Ben Brahim, Hafida
Gherbal, Boulakhras

Paperback

Probability & Statistics

ISBN10: 6209494749
ISBN13: 9786209494741
Publisher: LAP Lambert Academic Publishing
Published: Jan 6 2026
Pages: 120
Weight: 0.38
Height: 0.28 Width: 6.00 Depth: 9.00
Language: English
This book studies stochastic differential equations and stochastic control problems driven by general continuous local martingales with spatial parameters. In this setting, stochastic dynamics are characterized through local characteristics and quadratic variation, allowing the modeling of systems beyond the classical Brownian framework.The book first investigates weak and strong solution concepts for stochastic differential equations driven by continuous local martingales. Weak existence results are established using Euler-type approximation schemes combined with the martingale problem formulation. Strong convergence properties and optimal rates of convergence are also analyzed, providing a rigorous theoretical foundation for stochastic systems driven by general martingale noise.The final part is devoted to stochastic control problems in this general martingale framework, including optimal feedback and singular control problems. Necessary optimality conditions are derived using variational arguments and adjoint equations involving backward stochastic differential equations driven by continuous local martingales.

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