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math.PR2017★ 4 cited
Stochastic Near-Optimal Controls for Path-Dependent Systems
Dorival Leão, Alberto Ohashi, Francys Souza
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes contr…
math.PR2017
A weak version of path-dependent functional Itô calculus
Dorival Leão, Alberto Ohashi, Alexandre B. Simas
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration that provides a differential structure allowing to describe infinitesima…