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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.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…
math.OC2024
Representation results and error estimates for differential games with applications using neural networks
Olivier Bokanowski, Xavier Warin
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form, and show error estimat…