3 papers
math.PR2026
Exponential twist of probability measures: drift correction in term of a generalized gradient
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
In this paper we study the exponential twist, i.e. a path-integral exponential change of measure, of a Markovian reference probability measure . This type of transformation natu…
math.OC2025
An entropy penalized approach for stochastic control problems. Complete version
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
In this paper, we propose an original approach to stochastic control problems. We consider a weak formulation that is written as an optimization (minimization) problem on the space…
math.OC2025
An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonic…