pith. sign in

arxiv: 1303.7160 · v2 · pith:QTFCPVAHnew · submitted 2013-03-28 · 🧮 math.PR · math.OC

Stochastic control with rough paths

classification 🧮 math.PR math.OC
keywords roughcontrolleddualitypathsstochastictypeanalysisanticipating
0
0 comments X
read the original abstract

We study a class of controlled rough differential equations. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the duality theory for controlled diffusion processes and typically involve anticipating stochastic analysis. We propose a formulation based on rough paths and then obtain a generalization of Roger's duality formula [L. C. G. Rogers, 2007] from discrete to continuous time. We also make the link to old work of [Davis--Burstein, 1987].

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.