Duality methods in stochastic optimal control
Optimization and Control
2026-02-23 v1 Probability
Abstract
We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by the literature so far.
Keywords
Cite
@article{arxiv.2602.17823,
title = {Duality methods in stochastic optimal control},
author = {Peter Bank and Filippo de Feo},
journal= {arXiv preprint arXiv:2602.17823},
year = {2026}
}