Scholarlink

We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Itô process conditioned to not have exited a given domain. We then apply this new result to the proof of a conjecture of P.L. Lions for the optimal control of conditioned processes.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Mimicking and Conditional Control with Hard Killing

  • 会议论文

  • 发表日期：

    2026年

查看全文
  • Rene Carmona,
  • Daniel Lacker

摘要

We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Itô process conditioned to not have exited a given domain. We then apply this new result to the proof of a conjecture of P.L. Lions for the optimal control of conditioned processes.