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math.OC2025
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…
math.OC2025
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…