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• W2736532511 abstract "In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this paper is the development of a concrete pathwise method for characterizing and computing near-optimal controls for abstract controlled Wiener functionals. The theory does not require ad hoc functional differentiability assumptions on the value process and elipticity conditions on the diffusion components. The analysis is pathwise over suitable finite dimensional spaces and it is based on the weak differential structure introduced by Leao, Ohashi and Simas jointly with measurable selection arguments. The theory is applied to stochastic control problems based on path-dependent SDEs where both drift and possibly degenerated diffusion components are controlled. Optimal control of drifts for path-dependent SDEs driven by fractional Brownian motion is also discussed. We finally provide an application in the context of financial mathematics. Namely, we construct near-optimal controls in a non-Markovian portfolio optimization problem." @default.
• W2736532511 created "2017-07-31" @default.
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• W2736532511 date "2017-07-17" @default.
• W2736532511 modified "2023-09-27" @default.
• W2736532511 title "Stochastic Near-Optimal Controls for Path-Dependent Systems" @default.
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• W2736532511 hasPublicationYear "2017" @default.
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