A note on solutions to controlled martingale problems and their conditioning

In this note, we rigorously justify a conditioning argument which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic control literature. To this end, we set up controlled martingale problems in an unusual way.

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Field Value
Source https://hal.science/hal-00809304
Author Claisse, Julien, Talay, Denis, Tan, Xiaolu
Maintainer CCSD
Last Updated May 11, 2026, 15:31 (UTC)
Created May 11, 2026, 15:31 (UTC)
Identifier hal-00809304
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor TO Simulate and CAlibrate stochastic models (TOSCA) ; Centre Inria d'Université Côte d'Azur ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Institut Élie Cartan de Lorraine (IECL) ; Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS)-Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS)
creator Claisse, Julien
date 2013-04-08T00:00:00
harvest_object_id 74186df4-850e-4bd5-ae95-196df99477be
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-11-04T00:00:00
set_spec type:UNDEFINED