CONTROLLED MARTINGALE PROBLEMS AND THEIR MARKOV MIMICS

Authors

Siva Athreya, International Centre for Theoretical Sciences
Vivek S. Borkar, Indian Institute of Technology Bombay
Nitya Gadhiwala

Article Type

Research Article

Publication Title

SIAM Journal on Control and Optimization

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 E 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 minimization. We provide many examples where the above results can be applied.

First Page

2621

Last Page

2638

DOI

10.1137/23M1598428

Publication Date

10-1-2024

Recommended Citation

Athreya, Siva; Borkar, Vivek S.; and Gadhiwala, Nitya, "CONTROLLED MARTINGALE PROBLEMS AND THEIR MARKOV MIMICS" (2024). Journal Articles. 4680.
https://digitalcommons.isical.ac.in/journal-articles/4680