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The Pontryagin maximum principle and -functions in rough environments
Estepan Ashkarian, Prakash Chakraborty, Harsha Honnappa +1
We derive the Pontryagin maximum principle and -functions for the relaxed control of noisy rough differential equations. Our main tool is the development of a novel differentiat…
Pathwise Relaxed Optimal Control of Rough Differential Equations
Prakash Chakraborty, Harsha Honnappa, Samy Tindel
This note lays part of the theoretical ground for a definition of differential systems modeling reinforcement learning in continuous time non-Markovian rough environments. Specific…
Optimal Dividends under Model Uncertainty
Prakash Chakraborty, Asaf Cohen, Virginia R. Young
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value…