3 papers
math.OC2026
Neural feedback approximation for stochastic control with degenerate diffusions: error estimates and numerical analysis
Olivier Bokanowski, Jean-François Chassagneux, Marco Scaratti +1
We study finite-horizon stochastic optimal control problems and approximate the resulting time-discrete formulation by a direct policy-learning problem over neural-network feedback…
math.NA2026
Solving Hamilton-Jacobi equations by residual minimization of monotone finite-difference discretizations
Olivier Bokanowski, Carlos Esteve-Yagüe, Richard Tsai
We introduce a method for solving Hamilton--Jacobi equations, both inviscid and viscous, by minimizing the squared residuals of monotone finite-difference discretizations on grids…
math.OC2026
Numerical Approximation for Path-Dependent McKean-Vlasov Control with Non-Asymptotic Error Estimates
Olivier Bokanowski, Jean-Francois Chassagneux, Xinyu Li +1
Path-dependent McKean--Vlasov (MKV) control models large interacting populations with history-dependent dynamics and costs. This paper develops a unified approximation-and-learning…