Mimicking and Conditional Control with Hard Killing

Rene Carmona () and Daniel Lacker
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Rene Carmona: Princeton University, Department of Operations Research and Financial Engineering
Daniel Lacker: Columbia University, Department of Industrial Engineering and Operations Research

A chapter in Stochastic Analysis and Applications 2025, 2026, pp 311-320 from Springer

Abstract: 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.

Keywords: Mimicking theorem; Markov projections; Control of conditional processes; 60H10; 60J60; 93E20 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-03914-9_11

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

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