5 papers
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…
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…
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 problem. These descriptions also hold when the diffusion is controlled, a case left open by…
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…
Stochastic Control with Signatures
P. Bank, C. Bayer, P. P. Hager +2
This paper proposes to parameterize open loop controls in stochastic optimal control problems via suitable classes of functionals depending on the driver's path signature, a concep…