Stochastic Optimal Control and Robust Filtering Under Rough Paths

To investigate the extensions of stochastic optimal control and robust filtering under rough path theory. The research will consist of three parts: 1) a summary of the key results of rough path theory necessary for extending stochastic optimal control and robust filtering; 2) a short exposition on Allan & Cohen’s [1] key findings; 3) exploring Allan & Cohen’s [1] remarks on the convergence of the filter to the true expectation. [1] A.L. Allan and S. N. Cohen. Pathwise Stochastic Control with Applications to Robust Filtering. arXiv:1902.05434v2, 2019.

Jonathan Mavroforas

University of Technology Sydney

Jonathan Mavroforas is a third-year Bachelor of Science student majoring in Mathematics and aims to complete his Honours in 2024. Through his studies, he has developed a strong interest in differential equations, probability theory and stochastic processes. Incorporating these fields in his research, he will investigate how stochastic filtering and optimal control can be extended under rough paths. In the future, he also hopes to research applications of rough path theory to mathematical finance.

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