Duality methods in stochastic optimal control
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866908842606985216 |
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| author | Bank, Peter de Feo, Filippo |
| author_facet | Bank, Peter de Feo, Filippo |
| contents | 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 the literature so far. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_17823 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Duality methods in stochastic optimal control Bank, Peter de Feo, Filippo Optimization and Control Probability 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 the literature so far. |
| title | Duality methods in stochastic optimal control |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2602.17823 |