no code implementations • 25 Jun 2023 • Melker Hoglund, Emilio Ferrucci, Camilo Hernandez, Aitor Muguruza Gonzalez, Cristopher Salvi, Leandro Sanchez-Betancourt, Yufei Zhang
We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morrill et al. (2021).
