Showing 2026Show all
3 papers · 1 filter
math.OC2026
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…
math.OC2026
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…
math.OC2026
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…