Mimicking finite dimensional marginals of a controlled diffusion by simpler controls

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'.

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Year of publication:	1989
Authors:	Borkar, Vivek S.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 31.1989, 2, p. 333-342
Publisher:	Elsevier
Keywords:	controlled diffusions finite dimensional marginals Markov controls nearly Markov controls relaxed control

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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