Martingale problems for controlled processes
Martingale problems for controlled processes
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受控过程的鞅问题
DOI:
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发表时间:
1987
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通讯作者:
T. Kurtz
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作者:
T. Kurtz
Martingale problems provide a powerful method for characterizing Markov processes. Stochastic control problems can also be formulated naturally as martingale problems (see for example Fleming (1983)), and our goal here is to exploit this formulation to give a general existence theorem for optimal solutions of a stochastic control problem in the finite time horizon and discounted cases (Sections 1,3), to construct the Nisio semigroup (Section 2), and to give conditions in terms of the generator of the Nisio semigroup under which the optimal solution can be approximated by solutions in which the control is piecewise constant (Sections 2,3). The proof of this last result involves showing that the value function of an appropriately defined discounted control problem is in the domain of the generator of the Nisio semigroup.