The Pontryagin maximum principle and $Q$-functions in rough environments

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Authors: Estepan Ashkarian, Prakash Chakraborty, Harsha Honnappa, Samy Tindel
Cited by: 0

Abstract

We derive the Pontryagin maximum principle and $Q$-functions for the relaxed control of noisy rough differential equations. Our main tool is the development of a novel differentiation procedure along `spike variation' perturbations of the optimal state-control pair. We then exploit our development of the infinitesimal $Q$-function (also known as the $q$-function) to derive a policy improvement algorithm for settings with entropic cost constraints.

Fields of Study & Subjects

Stochastic processes and financial applications Adaptive Dynamic Programming Control Optimization and Variational Analysis

Publication details

Journal / source
arXiv (Cornell University)
Publication date
8 January 2026
Document type
Preprint