Mimicking finite dimensional marginals of a controlled diffusion by simpler controls

Vivek S. Borkar

Stochastic Processes and their Applications, 1989, vol. 31, issue 2, 333-342

Abstract: It is proved that the finite dimensional marginal distribution of a controlled nondegenerate diffusion at a prescribed set of time instants can also be attained by using a control from a much smaller class of controls called 'nearly Markov controls'.

Keywords: controlled; diffusions; finite; dimensional; marginals; Markov; controls; nearly; Markov; controls; relaxed; control (search for similar items in EconPapers)
Date: 1989
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(89)90097-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:31:y:1989:i:2:p:333-342

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().