Solving non-Markovian stochastic control problems driven by Wiener functionals

DOI10.1214/24-AAP2080MaRDI QIDQ7034162zbMATH OpenFDO

Authors Dorival Leão, Alberto Ohashi, Francys A. de Souza

Publication date 31 January 2025

Published in The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

stochastic controlstochastic analysis

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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