12 citations · 45 across the 31 of their papers we have counts for
3 papers · 1 filter
Infinite horizon stochastic optimal control with sign-changing discount factor
Charles Bertucci, Jean-Michel Lasry, Pierre-Louis Lions
We study an infinite horizon stochastic optimal control problem by means of the associated Hamilton-Jacobi-Bellman equation. The problem we are studying has the particularity of ha…
Non-standard Stochastic Control with Nonlinear Feynman-Kac Costs
Rene Carmona, Mathieu Lauriere, Pierre-Louis Lions
We consider the conditional control problem introduced by P.L. Lions in his lectures at the Collège de France in November 2016. In his lectures, Lions emphasized some of the major…
Optimal control of conditioned processes with feedback controls
Yves Achdou, Mathieu Laurière, Pierre-Louis Lions
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not…