Browsing Rede de Pesquisa e Conhecimento Aplicado by Subject "Teoria do controle estocástico"
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Stochastic control and differential games with path-dependent controls
2017-03-05In 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 ...


