2 papers
math.OC2026
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…
math.OC2024
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…