Mimicking finite dimensional marginals of a controlled diffusion by simpler controls

DOI10.1016/0304-4149(89)90097-5zbMath0669.60057OpenAlexW2024779760WikidataQ126422853 ScholiaQ126422853MaRDI QIDQ1118906

Vivek S. Borkar

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90097-5

zbMATH Keywords

relaxed controlfinite-dimensional marginal distributionnearly Markov controls

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

Related Items (3)

On extremal solutions to stochastic control problems. II ⋮ MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS ⋮ Risk aggregation and stochastic claims reserving in disability insurance

Cites Work

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• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• Representation of Martingales, Quadratic Variation and Applications

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