Mimicking and Conditional Control with Hard Killing

Rene Carmona; Daniel Lacker

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arXiv · 2409.10650

Mimicking and Conditional Control with Hard Killing

Rene Carmona·Daniel Lacker

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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.

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Rene Carmona, Daniel Lacker. 2024-09-16. Mimicking and Conditional Control with Hard Killing. https://arxiv.org/abs/2409.10650

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