Nonstandard stochastic control with nonlinear Feynman-Kac costs
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Schrödinger and Feynman-Kac semigroups (47D08) Existence theories for optimal control problems involving partial differential equations (49J20) Mean field games (aspects of game theory) (91A16) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)
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Cites work
- A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
- Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
- Fleming–Viot Processes in Population Genetics
- Fokker-Planck-Kolmogorov equations
- Gradient flows in metric spaces and in the space of probability measures
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1341816 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- scientific article; zbMATH DE number 1448982 (Why is no real title available?)
- Hölder flow and differentiability for SDEs with nonregular drift
- Mean field games
- Mimicking an Itō process by a solution of a stochastic differential equation
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
- ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
- Optimal control of conditioned processes with feedback controls
- Representation theorems for backward stochastic differential equations
- Strong solutions of stochastic equations with singular time dependent drift
- Well-posedness of multidimensional diffusion processes with weakly differentiable coefficients
Cited in
(4)- Control of McKean-Vlasov SDEs with contagion through killing at a state-dependent intensity
- Control of conditional processes and Fleming-Viot dynamics
- A note on existence and asymptotic behavior of Lagrangian equilibria for first-order optimal-exit mean field games
- Particle approximation for conditional control with soft killing
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