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arXiv · 2309.00488

Controlled Martingale Problems And Their Markov Mimics

Siva Athreya·Vivek S. Borkar·Nitya Gadhiwala
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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 minimisation. We provide many examples where the above results can be applied.

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BibTeXRIS

Siva Athreya, Vivek S. Borkar, Nitya Gadhiwala. 2023-09-01. Controlled Martingale Problems And Their Markov Mimics. https://arxiv.org/abs/2309.00488

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