硬杀伤的模仿和条件控制

arXiv - MATH - Probability Pub Date : 2024-09-16 DOI:arxiv-2409.10650

Rene Carmona, Daniel Lacker

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引用次数: 0

摘要

我们首先证明了伊托过程边际分布的模仿定理（又称马尔可夫投影定理），该过程的条件是没有退出给定域。然后，我们将这一新结果用于证明 P.L. Lions 关于有条件过程最优控制的一个猜想。

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Mimicking and Conditional Control with Hard Killing

We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Ito 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.

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arXiv - MATH - Probability

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