A Pseudo-Markov Property for Controlled Diffusion Processes

DOI10.1137/151004252zbMath1341.60097arXiv1501.03939OpenAlexW1858128010MaRDI QIDQ2802081

Julien Claisse, Denis Talay, Xiaolu Tan

Publication date: 25 April 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.03939

zbMATH Keywords

martingale problemdynamic programming principlecontrolled diffusion processespseudo-Markov property

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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Cites Work

• Optimal stochastic control, stochastic target problems, and backward SDE.
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• Weak Dynamic Programming Principle for Viscosity Solutions
• Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
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