Pathwise stochastic control with applications to robust filtering
We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We investigate the degeneracy phenomenon induced by directly cont...
| Main Authors: | , |
|---|---|
| 格式: | Journal article |
| 語言: | English |
| 出版: |
Institute of Mathematical Statistics
2020
|