Nonstandard stochastic control with nonlinear Feynman-Kac costs
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Publication:6633902
Existence theories for optimal control problems involving partial differential equations (49J20) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Schrödinger and Feynman-Kac semigroups (47D08) Mean field games (aspects of game theory) (91A16)
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Cites work
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- 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
- 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 STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
- On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential 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
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