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math.OC2023★ 2 cited
Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time Approximations
Somnath Pradhan, Serdar Yüksel
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures.…
math.OC2023★ 1 cited
Robustness of Optimal Controlled Diffusions with Near-Brownian Noise via Rough Paths Theory
Somnath Pradhan, Zachary Selk, Serdar Yüksel
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idea…