Pathwise construction of stochastic integrals
نویسندگان
چکیده
منابع مشابه
Pathwise Construction of Stochastic Integrals
We propose a method to construct the stochastic integral simultaneously under a non-dominated family of probability measures. Pathby-path, and without referring to a probability measure, we construct a sequence of Lebesgue-Stieltjes integrals whose medial limit coincides with the usual stochastic integral under essentially any probability measure such that the integrator is a semimartingale. Th...
متن کاملPathwise Stochastic Optimal Control
This paper approaches optimal control problems for discrete-time controlled Markov processes by representing the value of the problem in a dual Lagrangian form; the value is expressed as an infimum over a family of Lagrangian martingales of an expectation of a pathwise supremum of the objective adjusted by the Lagrangian martingale term. This representation opens up the possibility of numerical...
متن کاملPathwise Stochastic Control Problems and Stochastic
In this paper we study a class of pathwise stochastic control problems in which the optimality is allowed to depend on the paths of exogenous noise (or information). Such a phenomenon can be illustrated by considering a particular investor who wants to take advantage of certain extra information but in a completely legal manner. We show that such a control problem may not even have a “minimizin...
متن کاملStochastic Bandits with Pathwise Constraints
We consider the problem of stochastic bandits, with the goal of maximizing a reward while satisfying pathwise constraints. The motivation for this problem comes from cognitive radio networks, in which agents need to choose between different transmission profiles to maximize throughput under certain operational constraints such as limited average power. Stochastic bandits serve as a natural mode...
متن کاملPathwise comparison results for stochastic fluid networks
We prove some new pathwise comparison results for single class stochastic fluid networks. Under fairly general conditions, monotonicity with respect to the (stateand time-dependent) routing matrices is shown. Under more restrictive assumptions, monotonicity with respect to the service rates is shown as well. We conclude by using the comparison results to establish a moment bound, a stability re...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2012
ISSN: 1083-589X
DOI: 10.1214/ecp.v17-2099