Mimicking and Conditional Control with Hard Killing
Probability
2024-09-18 v1
Abstract
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.
Cite
@article{arxiv.2409.10650,
title = {Mimicking and Conditional Control with Hard Killing},
author = {Rene Carmona and Daniel Lacker},
journal= {arXiv preprint arXiv:2409.10650},
year = {2024}
}
Comments
7 pages