4 citations · 4 across the 1 of their papers we have counts for
3 papers
math.PR2020
Stochastic near-optimal control: additive, multiplicative, non-Markovian and applications
Lourival Lima, Paulo Ruffino, Francys Souza
In this survey we present the near-optimal stochastic control problem according to some recent tools in the literature. In particular, we focus on the approach of a discretization…
math.PR2020
uniform random walk-type approximation for fractional Brownian motion with Hurst exponent
Alberto Ohashi, Francys A. de Souza
In this note, we prove an uniform approximation of the fractional Brownian motion with Hurst exponent by means of a family of continuous-time random wal…
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…