A note on solutions to controlled martingale problems and their conditioning

Julien Claisse 1 Denis Talay 1 Xiaolu Tan 2
1 TOSCA - TO Simulate and CAlibrate stochastic models
CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502
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.
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Submitted on : Monday, April 8, 2013 - 8:41:44 PM
Last modification on : Wednesday, March 27, 2019 - 4:08:30 PM
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Julien Claisse, Denis Talay, Xiaolu Tan. A note on solutions to controlled martingale problems and their conditioning. 2013. ⟨hal-00809304⟩

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