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Peter K. Friz

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#reinforcement learning Open access Oct 2026

Controlled rough SDEs, pathwise stochastic control and dynamic programming principles

We study stochastic optimal control of rough stochastic differential equations (RSDEs). This is in the spirit of the pathwise control problem (Lions–Souganidis 1998, Buckdahn–Ma 2007; also Davis–Burstein 1992), with renewed interest and recent works drawing motivation from filtering, SPDEs, and reinforcement learning....

Peter K. Friz, Khoa Lê, Huilin Zhang · 0 citations

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