Controlled Markov processes

Controlled Markov Processes and Mathematical Finance

Controlled Markov Processes with Arbitrary Numerical Criteria

ON THE INFINITE ORDER MARKOV PROCESSES

The notion of infinite order Markov process is introduced and the Markov property of the flow of information is established.

The KTH Visit in Semi-Markov Processes

A Pseudo-Markov Property for Controlled Diffusion Processes

In this note, we propose two different approaches to rigorously justify a pseudoMarkov 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 [9]. The second approach is based on an enlargement of th...