Pontryagin Maximum Principle in Free Probability Theory

Georg Schlüchtermann; Michael Wibmer

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arXiv · 2606.21778

Pontryagin Maximum Principle in Free Probability Theory

Georg Schlüchtermann·Michael Wibmer

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Abstract

Motivated by the classical stochastic maximum principle, random matrices and free stochastic differential equations we, develop an analog maximum principle for control problems driven by non-commutative random variables, e.g. random matrices. We formulate an optimal control problem in the setting of free probability, consisting of the controlled forward equation, a free backward stochastic differential equation. For both, we give global existence theorems. Due to the non-commutative It\^{o}-formula, the definition of the Hamiltonian differs to the commutative case. Our strategy is to stay as close as possible to the commutative case. Finally we formulate and proof the maximum principle in the context of free probability. Several examples show the application of the maximum principle, where explicit solutions can be found.

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Georg Schlüchtermann, Michael Wibmer. 2026-06-19. Pontryagin Maximum Principle in Free Probability Theory. https://arxiv.org/abs/2606.21778

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