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1 UC San Diego - University of California San Diego 2 TUB - Technische Universität Berlin Berlin 3 WIAS - Weierstrass Institute for Applied Analysis and Stochastics 4 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

Abstract : We study a class of controlled differential equations driven by rough paths or rough path realizations of Brownian motion in the sense of T. Lyons. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the duality theory for controlled diffusion processes and typically involve anticipating stochastic analysis. We make the link to old work of M. H. A. Davis and G. Burstein A deterministic approach to stochastic optimal control with application to anticipative optimal control. Stochastics and Stochastics Reports, 40:203–256, 1992 and then prove a continuous-time generalization of Roger-s duality formula L. C. G. Rogers, Pathwise Stochastic Optimal Control. SIAM J. Control Optim. 46, 3, 1116-1132, 2007. The generic case of controlled volatility is seen to give trivial duality bounds, and explains the focus in Burstein– Davis- and this work on controlled drift. Our study of controlled rough differential equations also relates to work of L. Mazliak and I. Nourdin Optimal control for rough differential equations. Stoch. Dyn. 08, 23, 2008.

Autor: Joscha Diehl - Peter Friz - Paul Gassiat -



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