Project Details
Projekt
Signature methods for optimal control in finance (B03)
Subject Area
Mathematics
Term
since 2024
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 516748464
This project aims to construct and analyze numerical methods for stochastic optimal control problems in finance using the path signature. Traditional methods, often relying on Markov processes, face challenges with path-dependent cases due to the curse of dimensionality. The signature provides a means to extend these techniques to non-Markovian problems by efficiently encoding the path's history. Our focus will be on simulation-based methods, developing general approximation methods for optimal controls and efficient numerical methods for BSDEs, even in non-Markovian systems, along with in-depth quantitative error estimates.
DFG Programme
CRC/Transregios
Applicant Institution
Technische Universität Berlin
Project Heads
Professor Dr. Peter Bank; Privatdozent Dr. Christian Bayer
