Alternative Theoretical Frameworks for Finite Horizon Discrete-Time Stochastic Optimal Control

Stochastic optimal control problems are usually analyzed under one of three types of assumptions: a) Countability assumptions on the underlying probability space—this eliminates all difficulties of measure theoretic nature; b) Semicontinuity assumptions under which the existence of optimal Borel measurable policies can be guaranteed; and c) Borel measurability assumptions under which the existence of p-optimal or p-ε-optimal Borel measurable policies can be guaranteed (Blackwell [3], Strauch [31]). In this paper we introduce a general theoretical framework based on outer integration which contains these three models as special cases. Within this framework all known results for finite horizon problems together with some new ones are proved and subsequently specialized. An important new feature of our specialization to the Borel measurable model is the introduction of universally measurable policies. We show that everywhere optimal or nearly optimal policies exist within this class and this enables us to dispense with the notion of p-optimality.