Controlled martingale problems and their Markov mimics

DOI10.1137/23M1598428MaRDI QIDQ6608784zbMATH OpenFDO

Authors Siva R. Athreya, Vivek Borkar, Nitya Gadhiwala

Publication date 20 September 2024

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

Full work available at URL https://doi.org/10.1137/23M1598428

zbMATH Keywords

controlled martingale problemMarkov mimicone-dimensional marginalsrelative entropy mimizationstochastic control

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20)

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Cited in

(1)

• Stochastic approximation in non-Markovian environments

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