Rough analysis in stochastic control (B05)

• Subject Area: Mathematics
• Term: since 2024
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 516748464

This project develops tools to analyze how control problems in finance, including those with mean-field components, depend on noise paths. Focusing on rough noises, it goes beyond traditional semi-martingale models. The project combines dynamic programming, maximum principles, and duality methods to establish stability of optimal strategies and value functions with respect to rough paths, improving our understanding of path-wise versus stochastic control.

• DFG Programme: CRC/Transregios
• Subproject of: TRR 388: Rough Analysis, Stochastic Dynamics and Related Fields
• Applicant Institution: Technische Universität Berlin
• Project Heads: Professor Dr. Peter Bank; Professor Dr. Ulrich Horst