Continuous Policy and Value Iteration for Stochastic Control Problems with Inhomogeneous Synchronous Coupling
Year: 2026
Type: preprint
Abstract: We propose a continuous policy-value iteration framework for infinite-horizon stochastic control problems, in which the policy evolves through Langevin-type dynamics driven by the gradient of the in-homogeneous Hamiltonian, while the value function is updated simultaneously and continuously along the iteration, avoiding directly solving its corresponding PDE at each step. The iteration scheme enjoys policy improvement under suitable regularity and admissibility assumptions and we show the exponential contraction of the joint policy-value dynamics in Wasserstein-2 distance under the Lipschitz condition in expectation via the inhomogeneous synchronous coupling and verify these conditions for linear-quadratic problems. Numerical experiments on linear-quadratic models and the optimal consumption-investment problems in an incomplete market factor model illustrate the policy improvement, convergence toward optimal policies, and the effect of decaying exploration noise.
Source: arXiv (Cornell University)
Authors: Feng, Qi, Shao, Renjie, Wang, Gu
Institutions: Florida State University, Worcester Polytechnic Institute
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7221077931