{
  "id": "2309.00488",
  "version": "v1",
  "published": "2023-09-01T14:27:47.000Z",
  "updated": "2023-09-01T14:27:47.000Z",
  "title": "Controlled Martingale Problems And Their Markov Mimics",
  "authors": [
    "Siva Athreya",
    "Vivek S. Borkar",
    "Nitya Gadhiwala"
  ],
  "categories": [
    "math.PR",
    "cs.IT",
    "math.IT",
    "math.OC"
  ],
  "abstract": "In 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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2023-09-01T14:27:47.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J25",
      "93E20"
    ],
    "keywords": [
      "markov mimics",
      "markovian solution",
      "markov-relaxed controlled martingale problem",
      "relative entropy minimisation",
      "polish space"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}