Mimicking and Conditional Control with Hard Killing

Rene Carmona; Daniel Lacker

doi:10.1007/978-3-032-03914-9_11

Mimicking and Conditional Control with Hard Killing

Rene Carmona
, Daniel Lacker

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

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.

Original language	English (US)
Title of host publication	Stochastic Analysis and Applications 2025
Subtitle of host publication	In Honour of Terry Lyons
Publisher	Springer Nature
Pages	311-320
Number of pages	10
ISBN (Electronic)	9783032039149
ISBN (Print)	9783032039132
DOIs	https://doi.org/10.1007/978-3-032-03914-9_11
State	Published - Jan 1 2026
Externally published	Yes

All Science Journal Classification (ASJC) codes

General Mathematics

Keywords

60H10
60J60
93E20
Control of conditional processes
Markov projections
Mimicking theorem

Access to Document

10.1007/978-3-032-03914-9_11

Cite this

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ER -

Mimicking and Conditional Control with Hard Killing

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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