Controlled martingale problems and their Markov mimics
type: Item
instance of: scholarly article
title: Controlled martingale problems and their Markov mimics
author: Siva R. Athreya
author: Vivek Borkar
author: Nitya Gadhiwala
published in: SIAM Journal on Control and Optimization
publication date: 2024-09-20T00:00:00Z
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7916664
zbMATH Keywords: controlled martingale problem
zbMATH Keywords: Markov mimic
zbMATH Keywords: one-dimensional marginals
zbMATH Keywords: relative entropy mimization
zbMATH Keywords: stochastic control
MaRDI profile type: Publication
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DOI: 10.1137/23M1598428
description: scientific article; zbMATH DE number 7916664