No local homogeneous rough path lift exists for γ-Hölder paths with γ≤1/2; for fBM with H>1/4 all local square-integrable lifts are stochastic translations of the canonical lift, with only the canonical satisfying extra invariances except at H=1/3.
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2 Pith papers cite this work. Polarity classification is still indexing.
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The value function is the unique minimizer of a functional whose Euler-Lagrange equation matches the HJB equation, with a verification theorem giving optimal policies via change of measure and BSDE uniqueness.
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Locality of rough path lifts
No local homogeneous rough path lift exists for γ-Hölder paths with γ≤1/2; for fBM with H>1/4 all local square-integrable lifts are stochastic translations of the canonical lift, with only the canonical satisfying extra invariances except at H=1/3.
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Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences
The value function is the unique minimizer of a functional whose Euler-Lagrange equation matches the HJB equation, with a verification theorem giving optimal policies via change of measure and BSDE uniqueness.