# Controlled Martingale Problems And Their Markov Mimics

arXiv: https://arxiv.org/abs/2309.00488 · HTML: https://mlsanity.com/paper/2309.00488/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 1 Sep 2023.

## Built on by (most cited first, 1 of 1)

- [Stochastic approximation in non-markovian environments revisited](https://mlsanity.com/paper/2603.21091/) (2026)

## Abstract (arXiv)

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.