On extremal solutions to stochastic control problems |
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| Authors: | Vivek S. Borkar |
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| Affiliation: | (1) Department of Electrical Engineering, Indian Institute of Science, 560012 Bangalore, India |
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| Abstract: | We identify two solutions of a controlled diffusion if the corresponding one-dimensional marginals of the state and control process agree. The extreme points of the set of such equivalence classes are shown to correspond to Markov controls. |
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| Keywords: | Optimal stochastic control Controlled diffusion Extremal solutions Markov controls Marginal classes |
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