Stochastic control and differential games with path-dependent controls

dc.contributor.affiliationFGV EMAp
dc.contributor.authorSaporito, Yuri Fahham
dc.contributor.unidadefgvEscolas::EMAppor
dc.contributor.unidadefgvDemais unidades::RPCApor
dc.date.accessioned2018-01-18T17:21:01Z
dc.date.available2018-01-18T17:21:01Z
dc.date.issued2017-03-05
dc.description.abstractIn this paper we consider the functional Itˆo calculus framework to find a path- dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems with path-dependence in the controls. We also prove a Dynamic Programming Principle for such problems. We apply our results to path-dependence of the delay type. We further study Stochastic Differential Games in this context.por
dc.identifier.urihttps://hdl.handle.net/10438/19940
dc.language.isoeng
dc.rights.accessRightsOpen accesseng
dc.sourceArXivpor
dc.subjectFunctional Itô calculuseng
dc.subjectPath-dependenceeng
dc.subjectStochastic controleng
dc.subjectStochastic gameseng
dc.subjectDelayeng
dc.subject.areaMatemáticapor
dc.subject.bibliodataTeoria do controle estocásticopor
dc.subject.bibliodataTeoria dos jogospor
dc.titleStochastic control and differential games with path-dependent controlseng
dc.typePapereng
fgv.relation.ispartofRede de Pesquisa e Conhecimento Aplicadopor
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