Julien Claisse

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In this note, we rigorously justify a conditioning argument which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic control literature. To this end, we set up controlled martingale problems in an unusual way. 1 Introduction At the end of section 5 in [12], Y. Kabanov and C. Klüppelberg write: `The dynamic(More)
Finite-difference approximations to an elliptic–hyperbolic system arising in vortex density models for type II superconductors are studied. The problem can be formulated as a non-local Hamilton–Jacobi equation on a bounded domain with zero Neumann boundary conditions. Monotone schemes are defined and shown to be stable. An L ∞ error bound is proved for the(More)
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