2 papers
math.PR2020
Solving non-Markovian Stochastic Control Problems driven by Wiener Functionals
Dorival Leão, Alberto Ohashi, Francys Andrews de Souza
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state proc…
q-fin.CP2017
Discrete-type approximations for non-Markovian optimal stopping problems: Part II
Sérgio C. Bezerra, Alberto Ohashi, Francesco Russo +1
In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stopping time problems based on the Brownian motion filtration. The algorithm is based on Leão, Ohashi and…