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