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A pseudo-Markov property for controlled diffusion processes

hal.structure.identifierCentre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
dc.contributor.authorClaisse, Julien*
hal.structure.identifierInria Sophia Antipolis - Méditerranée [CRISAM]
dc.contributor.authorTalay, Denis
HAL ID: 19828		*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorTan, Xiaolu*
dc.date.accessioned2019-09-05T14:12:45Z
dc.date.available2019-09-05T14:12:45Z
dc.date.issued2016
dc.identifier.issn0363-0129
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19702
dc.language.isoenen
dc.subjectmartingale problemen
dc.subjectdynamic programming principleen
dc.subjectStochastic controlen
dc.subjectpseudo-Markov propertyen
dc.subject.ddc519en
dc.titleA pseudo-Markov property for controlled diffusion processesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which isoften (explicitly or im-plicitly) used to prove the dynamic programming principle in the stochastic controlliterature. The first approach develops a sketch of proof proposed by Fleming andSouganidis [9]. The second approach is based on an enlargement of the originalstate space and a controlled martingale problem. We clarifysome measurabilityand topological issues raised by these two approaches.en
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol54en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2016-04
dc.relation.isversionofjnlpages1017-1029en
dc.relation.isversionofdoi10.1137/151004252en
dc.identifier.urlsitehttps://arxiv.org/abs/1501.03939v1en
dc.relation.isversionofjnlpublisherSIAM - Society for Industrial and Applied Mathematicsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-07-25T16:04:22Z
hal.faultCode{"duplicate-entry":{"hal-01429545":{"doi":"1.0"}}}
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hal.author.functionaut
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