Solving non-Markovian stochastic control problems driven by Wiener functionals

Dorival Leão; Alberto Ohashi; Francys Andrews de Souza

doi:10.1214/24-aap2080

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Solving non-Markovian stochastic control problems driven by Wiener functionals

Dorival Leão Alberto Ohashi Francys Andrews de Souza

Year: 2024 Journal: The Annals of Applied Probability Vol: 34 (6) Publisher: Institute of Mathematical Statistics

DOI: 10.1214/24-aap2080

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Keywords:

Markov process Applied mathematics Wiener process Mathematics Control (management) Mathematical economics Computer science Statistical physics Mathematical optimization Physics Statistics Artificial intelligence

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Stability and Controllability of Differential Equations

Physical Sciences → Engineering → Control and Systems Engineering

Markov Chains and Monte Carlo Methods

Physical Sciences → Mathematics → Statistics and Probability

Solving non-Markovian stochastic control problems driven by Wiener functionals

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