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Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework

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 Added by Xiaolu Tan
 Publication date 2013
  fields
and research's language is English




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We give a brief presentation of the capacity theory and show how it derives naturally a measurable selection theorem following the approach of Dellacherie (1972). Then we present the classical method to prove the dynamic programming of discrete time stochastic control problem, using measurable selection arguments. At last, we propose a continuous time extension, that is an abstract framework for the continuous time dynamic programming principle (DPP).



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We aim to give an overview on how to derive the dynamic programming principle for a general stochastic control/stopping problem, using measurable selection techniques. By considering their martingale problem formulation, we show how to check the required measurability conditions for differe
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101 - Benjamin Grimmer 2021
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