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math.OC2026
Risk-sensitive exit-time control for stochastic differential equations with path-dependent coefficients
David Criens, Fabian Fuchs
In this work, we study small-noise asymptotics of risk-sensitive exit-time control problems governed by stochastic differential equations with path-dependent coefficients. Our main…
math.OC2025
Representation Theorems for Convex Expectations and Semigroups on Path Space
David Criens, Michael Kupper
The objective of this paper is to investigate the connection between penalty functions from stochastic optimal control, convex semigroups from analysis and convex expectations from…