A topology for Markov controls

1989 ◽  
Vol 20 (1) ◽  
pp. 55-62 ◽  
Author(s):  
Vivek S. Borkar
Keyword(s):  
Markov Controls

MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS

2013 ◽  
Vol 14 (01) ◽  
pp. 1350011 ◽  
Author(s):  
S. BOUHADOU ◽  
Y. OUKNINE
Keyword(s):  
Marginal Distribution ◽  
One Dimensional ◽  
Controlled Diffusion ◽  
Finite Dimensional ◽  
The One ◽  
Diffusion With Jumps ◽  
Markov Controls

Given a controlled diffusion with jumps, it is shown under some conditions that there exists a Markov controlled diffusion which has the same cost under any criterion which only depends on the one-dimensional distributions. This result is then used to prove that the finite dimensional marginal distribution of a controlled diffusion with jumps at a prescribed set of time instants can also be attained by using a control from a much smaller class of controls called "nearly Markov controls", extending the work of Borkar [4] to the discontinuous setting.

Erratum: "Existence of Markov Controls and Characterization of Optimal Markov Controls"

1999 ◽  
Vol 37 (4) ◽  
pp. 1310-1311
Author(s):  
Thomas G. Kurtz ◽  
Richard H. Stockbridge
Keyword(s):  
Markov Controls

Extension of the class of Markov controls

1984 ◽  
pp. 55-65
Author(s):  
V. I. Arkin
Keyword(s):  
Markov Controls

Existence of Markov Controls and Characterization of Optimal Markov Controls

1998 ◽  
Vol 36 (2) ◽  
pp. 609-653 ◽  
Author(s):  
Thomas G. Kurtz ◽  
Richard H. Stockbridge
Keyword(s):  
Markov Controls
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