A pseudo-Markov property for controlled diffusion processes
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🧮 math.PR
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controlledapproachapproachesdiffusionprocessespropertypseudo-markovcite
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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~\cite{fleming-souganidis}. 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.
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