Showing math.OCShow all
2 papers · 1 filter
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.OC2024
A Probabilistic Approach to Discounted Infinite Horizon and Invariant Mean Field Games
René Carmona, Ludovic Tangpi, Kaiwen Zhang
This paper considers discounted infinite horizon mean field games by extending the probabilistic weak formulation of the game as introduced by Carmona and Lacker (2015). Under simi…