3 papers
math.PR2025
Conditional McKean-Vlasov control
René Carmona, Ludovic Tangpi, Kaiwen Zhang
Conditional McKean-Vlasov control problems involve controlling McKean-Vlasov diffusions where the interaction occurs through the law of the state process conditionally on it stayin…
math.OC2025
Particle Approximation for Conditional Control with Soft Killing
Rene Carmona, Samuel Daudin
The aim of this paper is to develop a particle approximation for the conditional control problem introduced by P.-L. Lions during his lectures at the Collège de France in November…
math.PR2024
Mimicking and Conditional Control with Hard Killing
Rene Carmona, Daniel Lacker
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…