Nonstandard stochastic control with nonlinear Feynman-Kac costs
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Publication:6633902
DOI10.1215/00192082-11416739MaRDI QIDQ6633902
Mathieu Laurière, P.-L. Lions, René Carmona
Publication date: 6 November 2024
Published in: Illinois Journal of Mathematics (Search for Journal in Brave)
Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) Schrödinger and Feynman-Kac semigroups (47D08) Mean field games (aspects of game theory) (91A16)
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