Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework

Abstract

We give a brief presentation of the capacity theory and show how it derives naturally a measurable selection theorem following the approach of Dellacherie (1972). Then we present the classical method to prove the dynamic programming of discrete time stochastic control problem, using measurable selection arguments. At last, we propose a continuous time extension, that is an abstract framework for the continuous time dynamic programming principle (DPP).