A remark on the attainable distributions of controlled diffusions

1 July 1986

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 18 (1) , 17-23
https://doi.org/10.1080/17442508608833398

Abstract

It is proved that for controlled diffusions, the sets of attainable laws at a given time and attainable exit distributions, starting from a given initial law, are the same under the family of all nonanticipative controls and its subfamily of Markov controls.

Keywords

STOCHASTIC CONTROLLABILITY
ATTAINABLE DISTRIBUTIONS
EXIT DISTRIBUTIONS
NONANTICIPATIVE CONTROL
MARKOV CONTROL

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