Controlled Martingale Problems And Their Markov Mimics
Probability
2023-09-04 v1 Information Theory
math.IT
Optimization and Control
Abstract
In this article we prove under suitable assumptions that the marginals of any solution to a relaxed controlled martingale problem on a Polish space can be mimicked by a Markovian solution of a Markov-relaxed controlled martingale problem. We also show how such `Markov mimics' can be obtained by relative entropy minimisation. We provide many examples where the above results can be applied.
Keywords
Cite
@article{arxiv.2309.00488,
title = {Controlled Martingale Problems And Their Markov Mimics},
author = {Siva Athreya and Vivek S. Borkar and Nitya Gadhiwala},
journal= {arXiv preprint arXiv:2309.00488},
year = {2023}
}