Cours Année : 2016

HJB EQUATIONS AND EXTENSIONS OF CLASSICAL STOCHASTIC CONTROL THEORY

Résumé

These notes are a transcription of the course "Équations de HJB et extensions de la théorie classique du contrôle stochastique", given by P.-L. Lions at the Collège de France in 2016/2017. The course contains a few developments on Bayesian learning, on optimal control of conditioned processes, on interfaces and junction problems, and a seminar on scalar conservation laws which was presented by P.-L. Lions as a part of his course.

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cel-01568969 , version 1 (26-07-2017)

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  • HAL Id : cel-01568969 , version 1

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Charafeddine Mouzouni. HJB EQUATIONS AND EXTENSIONS OF CLASSICAL STOCHASTIC CONTROL THEORY. Doctoral. Collège de France, France. 2016. ⟨cel-01568969⟩
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