| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [1] UNICAMP State Univ Campinas, Dept Math, Rua Sergio Buarque Holanda 651, BR-13083859 Campinas - Brazil
Total Affiliations: 1
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| Document type: | Review article |
| Source: | European Physical Journal-Special Topics; v. 230, n. 14-15, p. 2783-2792, OCT 2021. |
| Web of Science Citations: | 1 |
| Abstract | |
In this survey we present the near-optimal stochastic control problem according to some recent tools in the literature. In particular, we focus on the approach of a discretization of the noise values instead of the canonical time-discretization. This is the so called skeleton structure. This allows to obtain an c-optimal control in non-Markovian systems (the main Theorem). A simple example illustrates the technique. The importance of the approach is emphasised in a final section on open problems related to more geometrical framework and discontinuous noise. (AU) | |
| FAPESP's process: | 17/23003-6 - Functional Stochastic Analysis and Applications |
| Grantee: | Francys Andrews de Souza |
| Support Opportunities: | Scholarships in Brazil - Post-Doctoral |
| FAPESP's process: | 20/04426-6 - Stochastic dynamics: analytical and geometrical aspects with applications |
| Grantee: | Paulo Regis Caron Ruffino |
| Support Opportunities: | Research Projects - Thematic Grants |
| FAPESP's process: | 15/50122-0 - Dynamic phenomena in complex networks: basics and applications |
| Grantee: | Elbert Einstein Nehrer Macau |
| Support Opportunities: | Research Projects - Thematic Grants |