Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework
Optimization and Control
2013-10-15 v1
Abstract
We give a brief presentation of the capacity theory and show how it derives naturally a measurable selection theorem following the approach of Dellacherie (1972). Then we present the classical method to prove the dynamic programming of discrete time stochastic control problem, using measurable selection arguments. At last, we propose a continuous time extension, that is an abstract framework for the continuous time dynamic programming principle (DPP).
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Cite
@article{arxiv.1310.3363,
title = {Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework},
author = {Nicole El Karoui and Xiaolu Tan},
journal= {arXiv preprint arXiv:1310.3363},
year = {2013}
}
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28 pages