Girsanov functionals and optimal bang-bang laws for final value stochastic control

Václav E. Benes

Stochastic Processes and their Applications, 1974, vol. 2, issue 2, 127-140

Abstract: Girsanov's theorem is a generalization of the Cameron-Martin formula for the derivative of a measure induced by a translation in Wiener space. It states that for [phi] a nonanticipative Brownian functional with [integral operator][phi]2 ds

Date: 1974
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