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Unified Optimality Conditions for Stochastic Optimal Control in the Rough Path and Itô Frameworks
Stochastic differential equations (SDEs) can be studied via Itô calculus and rough path theory. For stochastic optimal control, these two frameworks give distinct Pontryagin Maximum Principle (PMP) optimality conditions with forward-backward SDEs (FBSDEs) or rough differential equations. We show tha
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