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math.OC2026
Here, there and everywhere: state-dependent time-inconsistent stochastic control
Dylan Possamaï, Mateo Rodriguez Polo
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation,…
math.OC2024
A policy iteration algorithm for non-Markovian control problems
Dylan Possamaï, Ludovic Tangpi
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm reli…