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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