The authors prove the generalized Hopf formula under mild conditions and use it with SPDEs and the Pontryagin principle to compute curse-of-dimensionality-free dual bounds for stochastic control.
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Dual Approaches to Stochastic Control via SPDEs and the Pathwise Hopf Formula
The authors prove the generalized Hopf formula under mild conditions and use it with SPDEs and the Pontryagin principle to compute curse-of-dimensionality-free dual bounds for stochastic control.