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- W1858128010 abstract "In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic control literature. The first approach develops a sketch of proof proposed by Fleming and Souganidis [Indiana Univ. Math. J., 38 (1989), pp. 293--314]. The second approach is based on an enlargement of the original state space and a controlled martingale problem. We clarify some measurability and topological issues raised by these two approaches." @default.
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- W1858128010 date "2016-01-01" @default.
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- W1858128010 title "A Pseudo-Markov Property for Controlled Diffusion Processes" @default.
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- W1858128010 doi "https://doi.org/10.1137/151004252" @default.
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