Chaorui Wang | Searcharxiv

arXiv2025

A measure-valued HJB perspective on Bayesian optimal adaptive control

We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at optimising a cost functional depending on the posterior distribution of the hidden signal. Our setup is in sharp contrast to existing work: we include costs that depend on the full posterior distribution in a form that admits a large class of non-linear relationships. Expressing the dynamics of this posterior distribution in the observation filtration, we embed our problem into a genuinely infinite-dimensional stochastic control problem using measure-valued martingales. We address this problem by use of viscosity theory and approximation arguments. Specifically, we show equivalence to a corresponding weak formulation, characterise the optimal value of the problem in terms of the unique continuous viscosity solution of an associated HJB equation, and construct a piecewise constant and arbitrarily-close-to-optimal control to our main problem of study. As a byproduct of our analysis, we also provide a novel stability result for a class of measure-valued SDEs which we believe is of independent interest.

math.OC↗

arXiv2024

Expected Signature on a Riemannian Manifold and Its Geometric Implications

On a compact Riemannian manifold $M,$ we show that the Riemannian distance function $d(x,y)$ can be explicitly reconstructed from suitable asymptotics of the expected signature of Brownian bridge from $x$ to $y$. In addition, by looking into the asymptotic expansion of the fourth level expected signature of the Brownian loop based at $x\in M$, one can explicitly reconstruct both intrinsic (Ricci curvature) and extrinsic (second fundamental form) curvature properties of $M$ at $x$. As independent interest, we also derive the intrinsic PDE for the expected Brownian signature dynamics on $M$ from the perspective of the Eells-Elworthy-Malliavin horizontal lifting.

math.PR↗