Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems

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 different versions of control/stopping problem, including in particular the controlled/stopped diffusion processes problem. Further, we also study the stability of the control problem, i.e. the approximation of the control process by piecewise constant control problems. It induces in particular an equivalence result for different versions of the controlled/stopped diffusion processes problem.

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