Borkar, Vivek S. (1989) Mimicking finite dimensional marginals of a controlled diffusion by simpler controls Stochastic Processes and their Applications, 31 (2). pp. 333-342. ISSN 0304-4149
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Official URL: http://www.sciencedirect.com/science/article/pii/0...
Related URL: http://dx.doi.org/10.1016/0304-4149(89)90097-5
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'.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Controlled Diffusions; Finite Dimensional Marginals; Markov Controls; Nearly Markov Controls; Relaxed Control |
| ID Code: | 81424 |
| Deposited On: | 06 Feb 2012 04:36 |
| Last Modified: | 06 Feb 2012 04:36 |
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