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math.OC2026
Risk-sensitive exit-time control for stochastic differential equations with path-dependent coefficients
David Criens, Fabian Fuchs
In this work, we study small-noise asymptotics of risk-sensitive exit-time control problems governed by stochastic differential equations with path-dependent coefficients. Our main…
math.OC2026
Projected Evolutionary Lifting and Well-Posedness of Stationary Hamilton-Jacobi-Bellman Equations in Infinite Dimensions
Gabriele Bolli, Fabian Fuchs
This paper establishes the existence and uniqueness of mild solutions to stationary Hamilton-Jacobi-Bellman (HJB) equations associated with infinite-horizon stochastic optimal cont…