Stochastic Control and Differential Games with Path-Dependent Controls


In this paper we consider the functional Ito 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... [ view full abstract ]


  1. Yuri Saporito (Getulio Vargas Foundation)

Topic Areas

Optimal Control , Stochastic Analysis


WE-P-EM » Dividends and Control (14:30 - Wednesday, 18th July, Emmet)

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