Add to ORKGIn this article we prove under suitable assumptions that the marginals of any solution to a relaxed controlled martingale problem on a Polish space $E$ can be mimicked by a Markovian solution of a Markov-relaxed controlled martingale problem. We also show how such `Markov mimics' can be obtained by relative entropy minimisation. We provide many examples where the above results can be applied
In this talk, we consider self-similar Markov processes defined on $R^d$ without the origin, which a...
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection...
The theory of Markov Decision Processes is the theory of controlled Markov chains. Its origins can b...
International audienceIn this note, we propose two different approaches to rigorously justify a pseu...
As stochastic processes are not uniquely defined by their marginal distributions, it is of interest ...
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for...
Revision: 2011We exhibit conditions under which the flow of marginal distributions of a discontinuou...
By the classical Martingale Representation Theorem, replication of random vectors can be achieved vi...
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are...
One of the goals of this article is to describe a wide class of control strategies, which includes t...
We prove that for a so-called sticky process S there exists an equivalent probability Q and a Q-mart...
Bibliography: leaves 30-33."January, 1979."U.S. Air Force Office of Sponsored Research Grant AFOSR 7...
In this work, we are interested in the necessary conditions of optimality in stochastic optimal co...
AbstractControlled diffusion problems with classical cost structures (ergodic, discounted, etc.) are...
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection...
In this talk, we consider self-similar Markov processes defined on $R^d$ without the origin, which a...
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection...
The theory of Markov Decision Processes is the theory of controlled Markov chains. Its origins can b...
International audienceIn this note, we propose two different approaches to rigorously justify a pseu...
As stochastic processes are not uniquely defined by their marginal distributions, it is of interest ...
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for...
Revision: 2011We exhibit conditions under which the flow of marginal distributions of a discontinuou...
By the classical Martingale Representation Theorem, replication of random vectors can be achieved vi...
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are...
One of the goals of this article is to describe a wide class of control strategies, which includes t...
We prove that for a so-called sticky process S there exists an equivalent probability Q and a Q-mart...
Bibliography: leaves 30-33."January, 1979."U.S. Air Force Office of Sponsored Research Grant AFOSR 7...
In this work, we are interested in the necessary conditions of optimality in stochastic optimal co...
AbstractControlled diffusion problems with classical cost structures (ergodic, discounted, etc.) are...
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection...
In this talk, we consider self-similar Markov processes defined on $R^d$ without the origin, which a...
This PhD thesis studies various mathematical aspects of problems related to the Markovian projection...
The theory of Markov Decision Processes is the theory of controlled Markov chains. Its origins can b...