6 papers
Duality for Stochastic Control with non-Markovian Random Coefficients
Peter Bank, Jannis R. Dause, Filippo de Feo +1
We develop novel duality methods for stochastic optimal control problems under two sources of randomness and non-Markovian random coefficients adapted to just one of them. The Hami…
Solving Linear-Quadratic Stochastic Control Problems with Signatures
Alif Aqsha, Peter Bank, Leandro Sánchez-Betancourt
We study a signature-driven numerical scheme to solve multi-dimensional linear-quadratic (LQ) stochastic control problems. Using that linear signature functionals are dense in the…
Duality methods in stochastic optimal control
Peter Bank, Filippo de Feo
We prove two duality descriptions of the value function for a generic stochastic optimal control problem. These yield sharp bounds for the value function and also hold when the dif…
Causal Hamilton-Jacobi-Bellman Equations for Anticipative Stochastic Optimal Control
Peter Bank, Franziska Bielert
We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled s…
How much should we care about what others know? Jump signals in optimal investment under relative performance concerns
Peter Bank, Gemma Sedrakjan
We present a multi-agent and mean-field formulation of a game between investors who receive private signals informing their investment decisions and who interact through relative p…
Stochastic Control with Signatures
P. Bank, C. Bayer, P. P. Hager +2
This paper proposes to parameterize open loop controls in stochastic optimal control problems via suitable classes of functionals depending on the driver's path signature, a concep…