138 citations
- Universidade Federal de Santa CatarinaBR10 papers
- Northern Illinois UniversityUS9 papers
- Institut national de recherche en sciences et technologies du numériqueFR7 papers
- Instituto Nacional de Matemática Pura e AplicadaBR6 papers
- Universidade de São PauloBR6 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR4 papers
- Centre National de la Recherche ScientifiqueFR4 papers
- École PolytechniqueFR4 papers
- Imperial College LondonGB4 papers
- Brazilian Society of Computational and Applied MathematicsBR3 papers
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- Institute of Science and Technology AustriaAT3 papers
Showing 2016 · math.PRShow all
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math.PR2016
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost
Yuri F. Saporito
In this paper, we consider the functional Itô calculus framework to find a path-dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems that featu…
math.PR2016★ 1 cited
Shock fluctuations for the Hammersley process
Leandro P. R. Pimentel, Marcio W. A. de Souza
We consider the Hammersley interacting particle system starting from a shock initial profile with densities (). The microscopic shock is taken as the posit…