7 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…
Universal Approximation of Nonlinear Operators and Their Derivatives
Filippo de Feo
Establishing Universal Approximation Theorems (UATs) for nonlinear operators and their derivatives is a foundational open problem in Operator Learning (OL) and raises delicate ques…
Optimal Control of Heterogeneous Mean-Field Stochastic Differential Equations with Common Noise and Applications
Filippo de Feo, Samy Mekkaoui
We initiate the study of optimal control problems of heterogeneous mean-field stochastic differential equations with common noise. We formulate the problem within a linear-quadrati…
Stochastic Optimal Control with Measurable Coefficients and Applications
Filippo de Feo
Stochastic optimal control control problems with merely measurable coefficients are not well understood. In this manuscript, we consider fully non-linear stochastic optimal control…
Stochastic optimal control in Hilbert spaces: regularity of the value function and optimal synthesis via viscosity solutions
Filippo de Feo, Andrzej Święch, Lukas Wessels
We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Li…
Optimal control of stochastic delay differential equations: Optimal feedback controls
Filippo de Feo, Andrzej Święch
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions o…