A note on solutions to controlled martingale problems and their conditioning - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

A note on solutions to controlled martingale problems and their conditioning

(1) , (1) , (2)
1
2

Abstract

In this note, we rigorously justify a conditioning argument which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic control literature. To this end, we set up controlled martingale problems in an unusual way.
Fichier principal
Vignette du fichier
JDX.pdf (236.85 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00809304 , version 1 (08-04-2013)

Identifiers

  • HAL Id : hal-00809304 , version 1

Cite

Julien Claisse, Denis Talay, Xiaolu Tan. A note on solutions to controlled martingale problems and their conditioning. 2013. ⟨hal-00809304⟩
534 View
604 Download

Share

Gmail Facebook Twitter LinkedIn More