21 citations · 25 across the 3 of their papers we have counts for
4 papers
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…
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…
Path-dependent Itô formulas under finite -variation regularity
Alberto Ohashi, Evelina Shamarova, Nikolai N. Shamarov
In this work, we establish pathwise functional Itô formulas for non-smooth functionals of real-valued continuous semimartingales. Under finite -variation regularity assumpti…
Fractional term structure models: No-arbitrage and consistency
Alberto Ohashi
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbi…