A pseudo-Markov property for controlled diffusion processes
Probability
2015-01-19 v1
Abstract
In 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~\cite{fleming-souganidis}. 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.
Cite
@article{arxiv.1501.03939,
title = {A pseudo-Markov property for controlled diffusion processes},
author = {Julien Claisse and Denis Talay and Xiaolu Tan},
journal= {arXiv preprint arXiv:1501.03939},
year = {2015}
}