2 papers
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.PR2026
Controlled fields, rough stochastic calculus, and Itô-Wentzell-Alekseev-Gröbner identities
Jannis R. Dause, Peter K. Friz, Arnulf Jentzen +1
We develop a calculus of space-time controlled fields for rough stochastic systems. This approach provides a unified composition rule for evaluating random fields along rough semim…