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dc.contributor.authorClaisse, Julien*
dc.contributor.authorTalay, Denis*
dc.contributor.authorTan, Xiaolu*
dc.date.accessioned2015-01-27T08:47:28Z
dc.date.available2015-01-27T08:47:28Z
dc.date.issued2016
dc.identifier.issn0363-0129
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14621
dc.language.isoenen
dc.subjectmartingale problem
dc.subjectdynamic programming principle
dc.subjectStochastic control
dc.subjectpseudo-Markov property
dc.subject.ddc519en
dc.subject.classificationjelC73en
dc.titleA pseudo-Markov property for controlled diffusion processes
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherINRIA Sophia Antipolis;France
dc.description.abstractenIIn this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic control literature. The first approach develops a sketch of proof proposed by Fleming and Souganidis [Indiana Univ. Math. J., 38 (1989), pp. 293--314]. The second approach is based on an enlargement of the original state space and a controlled martingale problem. We clarify some measurability and topological issues raised by these two approaches.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol54
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages1017-1029
dc.relation.isversionofdoi10.1137/151004252
dc.identifier.urlsitehttps://arxiv.org/abs/1501.03939v1
dc.relation.isversionofjnlpublisherSIAM - Society for Industrial and Applied Mathematics
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2019-09-05T14:04:11Z
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hal.person.labIds60*


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