On Supermartingale Problems
Part of the Advances in Mathematical Economics book series (MATHECON, volume 21)
In the present paper the author introduces a new notion, supermartingale problems, to describe a family of probability measures on path space, and shows some results on existence and stability.
KeywordsMartingale problem Supermartingale Stochastic differential equation
- 2.Ikeda N, Watanabe S (1989) Stochastic differential equations and difusion processes, 2nd edn. Kodansha North-HollandGoogle Scholar
- 3.Kaneko H, Nakao S (1988) A note on approximation for stochastic differential equations. Séminare de Probabilités, XXII, Lecture notes in mathematics, vol 1321. Springer, Berlin, pp 155–162Google Scholar
© Springer Nature Singapore Pte Ltd. 2017