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STOCHASTIC OPTIMAL CONTROL FOR PATH-DEPENDENT SYSTEMS:

PART I

Abstract. In this article, we introduce a discretization scheme for generic control problems driven
by the Brownian motion filtration including path-dependent and non-semimartingale systems based
on a generic Wiener functional. The methodology provides a sound description of a rather general
class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control problem
based on path-dependent SDEs under mild continuity assumptions on the value functional.

1. Introduction
2. Preliminaries
The paper is quite heavy with notation, so we summarize here a partial list for ease of reference:
UtT , Unk,m
e(k, t)
Pkn , nk , kn+1
Sk , Hk , A
ok,n , (ak0 . . . , akn1 ), (sk1 . . . , skn1 ), (ik1 , . . . , ikn ), bkn
k k
,z k
k,g
j , k,g
j
k
, e(k,T )
k,e(k,T )
Fj
k,e(k,T )
L(U0 ; OT (Fk ))
k
W
V k, V
DX ,k,h,j and DX ,k,2,j
2.1. Basic setup. In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control problem
based on path-dependent SDEs under mild continuity assumptions on the value functional.In this arti-
cle, we introduce a discretization scheme for generic control problems driven by the Brownian motion
filtration including path-dependent and non-semimartingale systems based on a generic Wiener func-
tional. The methodology provides a sound description of a rather general class of stochastic control
problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the
classical Markovian case. Based on selection measurable arguments and transition probabilities of an
underlying approximating random walk, we also provide a concrete method of computing -optimal
controls. The methodology is applied to a stochastic control problem based on path-dependent SDEs
under mild continuity assumptions on the value functional.In this article, we introduce a discretization
scheme for generic control problems driven by the Brownian motion filtration including path-dependent

Date: May 22, 2017.


1991 Mathematics Subject Classification. Primary: C02; Secondary: G12.
1
2 STOCHASTIC OPTIMAL CONTROL FOR PATH-DEPENDENT SYSTEMS

and non-semimartingale systems based on a generic Wiener functional. The methodology provides a
sound description of a rather general class of stochastic control problems based on a class of Hamilton-
Jacobi-Bellman-type equations which is similar in spirit to the classical Markovian case. Based on
selection measurable arguments and transition probabilities of an underlying approximating random
walk, we also provide a concrete method of computing -optimal controls. The methodology is applied
to a stochastic control problem based on path-dependent SDEs under mild continuity assumptions on
the value functional.In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control problem
based on path-dependent SDEs under mild continuity assumptions on the value functional.In this arti-
cle, we introduce a discretization scheme for generic control problems driven by the Brownian motion
filtration including path-dependent and non-semimartingale systems based on a generic Wiener func-
tional. The methodology provides a sound description of a rather general class of stochastic control
problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the
classical Markovian case. Based on selection measurable arguments and transition probabilities of an
underlying approximating random walk, we also provide a concrete method of computing -optimal
controls. The methodology is applied to a stochastic control problem based on path-dependent SDEs
under mild continuity assumptions on the value functional.In this article, we introduce a discretization
scheme for generic control problems driven by the Brownian motion filtration including path-dependent
and non-semimartingale systems based on a generic Wiener functional. The methodology provides a
sound description of a rather general class of stochastic control problems based on a class of Hamilton-
Jacobi-Bellman-type equations which is similar in spirit to the classical Markovian case. Based on
selection measurable arguments and transition probabilities of an underlying approximating random
walk, we also provide a concrete method of computing -optimal controls. The methodology is applied
to a stochastic control problem based on path-dependent SDEs under mild continuity assumptions on
the value functional.In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control problem
based on path-dependent SDEs under mild continuity assumptions on the value functional.In this arti-
cle, we introduce a discretization scheme for generic control problems driven by the Brownian motion
filtration including path-dependent and non-semimartingale systems based on a generic Wiener func-
tional. The methodology provides a sound description of a rather general class of stochastic control
problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the
classical Markovian case. Based on selection measurable arguments and transition probabilities of an
underlying approximating random walk, we also provide a concrete method of computing -optimal
controls. The methodology is applied to a stochastic control problem based on path-dependent SDEs
under mild continuity assumptions on the value functional.
In this article, we introduce a discretization scheme for generic control problems driven by the
Brownian motion filtration including path-dependent and non-semimartingale systems based on a
generic Wiener functional. The methodology provides a sound description of a rather general class
of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations which
is similar in spirit to the classical Markovian case. Based on selection measurable arguments and
transition probabilities of an underlying approximating random walk, we also provide a concrete
STOCHASTIC OPTIMAL CONTROL FOR PATH-DEPENDENT SYSTEMS 3

method of computing -optimal controls. The methodology is applied to a stochastic control problem
based on path-dependent SDEs under mild continuity assumptions on the value functional.In this
article, we introduce a discretization scheme for generic control problems driven by the Brownian
motion filtration including path-dependent and non-semimartingale systems based on a generic Wiener
functional. The methodology provides a sound description of a rather general class of stochastic control
problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the
classical Markovian case. Based on selection measurable arguments and transition probabilities of an
underlying approximating random walk, we also provide a concrete method of computing -optimal
controls. The methodology is applied to a stochastic control problem based on path-dependent SDEs
under mild continuity assumptions on the value functional.
In this article, we introduce a discretization scheme for generic control problems driven by the
Brownian motion filtration including path-dependent and non-semimartingale systems based on a
generic Wiener functional. The methodology provides a sound description of a rather general class
of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations which is
similar in spirit to the classical Markovian case. Based on selection measurable arguments and transi-
tion probabilities of an underlying approximating random walk, we also provide a concrete method of
computing -optimal controls. The methodology is applied to a stochastic control problem based on
path-dependent SDEs under mild continuity assumptions on the value functional.In this article, we
introduce a discretization scheme for generic control problems driven by the Brownian motion filtra-
tion including path-dependent and non-semimartingale systems based on a generic Wiener functional.
The methodology provides a sound description of a rather general class of stochastic control problems
based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the classical
Markovian case. Based on selection measurable arguments and transition probabilities of an underly-
ing approximating random walk, we also provide a concrete method of computing -optimal controls.
The methodology is applied to a stochastic control problem based on path-dependent SDEs under mild
continuity assumptions on the value functional.In this article, we introduce a discretization scheme for
generic control problems driven by the Brownian motion filtration including path-dependent and non-
semimartingale systems based on a generic Wiener functional. The methodology provides a sound
description of a rather general class of stochastic control problems based on a class of Hamilton-
Jacobi-Bellman-type equations which is similar in spirit to the classical Markovian case. Based on
selection measurable arguments and transition probabilities of an underlying approximating random
walk, we also provide a concrete method of computing -optimal controls. The methodology is applied
to a stochastic control problem based on path-dependent SDEs under mild continuity assumptions on
the value functional.In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control prob-
lem based on path-dependent SDEs under mild continuity assumptions on the value functional.In
this article, we introduce a discretization scheme for generic control problems driven by the Brown-
ian motion filtration including path-dependent and non-semimartingale systems based on a generic
Wiener functional. The methodology provides a sound description of a rather general class of sto-
chastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar
in spirit to the classical Markovian case. Based on selection measurable arguments and transition
probabilities of an underlying approximating random walk, we also provide a concrete method of
computing -optimal controls. The methodology is applied to a stochastic control problem based on
path-dependent SDEs under mild continuity assumptions on the value functional.In this article, we
introduce a discretization scheme for generic control problems driven by the Brownian motion filtra-
tion including path-dependent and non-semimartingale systems based on a generic Wiener functional.
4 STOCHASTIC OPTIMAL CONTROL FOR PATH-DEPENDENT SYSTEMS

The methodology provides a sound description of a rather general class of stochastic control problems
based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the classical
Markovian case. Based on selection measurable arguments and transition probabilities of an underly-
ing approximating random walk, we also provide a concrete method of computing -optimal controls.
The methodology is applied to a stochastic control problem based on path-dependent SDEs under mild
continuity assumptions on the value functional.In this article, we introduce a discretization scheme for
generic control problems driven by the Brownian motion filtration including path-dependent and non-
semimartingale systems based on a generic Wiener functional. The methodology provides a sound
description of a rather general class of stochastic control problems based on a class of Hamilton-
Jacobi-Bellman-type equations which is similar in spirit to the classical Markovian case. Based on
selection measurable arguments and transition probabilities of an underlying approximating random
walk, we also provide a concrete method of computing -optimal controls. The methodology is applied
to a stochastic control problem based on path-dependent SDEs under mild continuity assumptions on
the value functional.In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control prob-
lem based on path-dependent SDEs under mild continuity assumptions on the value functional.In
this article, we introduce a discretization scheme for generic control problems driven by the Brown-
ian motion filtration including path-dependent and non-semimartingale systems based on a generic
Wiener functional. The methodology provides a sound description of a rather general class of sto-
chastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar
in spirit to the classical Markovian case. Based on selection measurable arguments and transition
probabilities of an underlying approximating random walk, we also provide a concrete method of
computing -optimal controls. The methodology is applied to a stochastic control problem based on
path-dependent SDEs under mild continuity assumptions on the value functional.In this article, we
introduce a discretization scheme for generic control problems driven by the Brownian motion filtra-
tion including path-dependent and non-semimartingale systems based on a generic Wiener functional.
The methodology provides a sound description of a rather general class of stochastic control problems
based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the classical
Markovian case. Based on selection measurable arguments and transition probabilities of an underly-
ing approximating random walk, we also provide a concrete method of computing -optimal controls.
The methodology is applied to a stochastic control problem based on path-dependent SDEs under mild
continuity assumptions on the value functional.In this article, we introduce a discretization scheme for
generic control problems driven by the Brownian motion filtration including path-dependent and non-
semimartingale systems based on a generic Wiener functional. The methodology provides a sound
description of a rather general class of stochastic control problems based on a class of Hamilton-
Jacobi-Bellman-type equations which is similar in spirit to the classical Markovian case. Based on
selection measurable arguments and transition probabilities of an underlying approximating random
walk, we also provide a concrete method of computing -optimal controls. The methodology is applied
to a stochastic control problem based on path-dependent SDEs under mild continuity assumptions on
the value functional.In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control problem
STOCHASTIC OPTIMAL CONTROL FOR PATH-DEPENDENT SYSTEMS 5

based on path-dependent SDEs under mild continuity assumptions on the value functional.In this arti-
cle, we introduce a discretization scheme for generic control problems driven by the Brownian motion
filtration including path-dependent and non-semimartingale systems based on a generic Wiener func-
tional. The methodology provides a sound description of a rather general class of stochastic control
problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the
classical Markovian case. Based on selection measurable arguments and transition probabilities of an
underlying approximating random walk, we also provide a concrete method of computing -optimal
controls. The methodology is applied to a stochastic control problem based on path-dependent SDEs
under mild continuity assumptions on the value functional.In this article, we introduce a discretization
scheme for generic control problems driven by the Brownian motion filtration including path-dependent
and non-semimartingale systems based on a generic Wiener functional. The methodology provides a
sound description of a rather general class of stochastic control problems based on a class of Hamilton-
Jacobi-Bellman-type equations which is similar in spirit to the classical Markovian case. Based on
selection measurable arguments and transition probabilities of an underlying approximating random
walk, we also provide a concrete method of computing -optimal controls. The methodology is applied
to a stochastic control problem based on path-dependent SDEs under mild continuity assumptions on
the value functional.In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control problem
based on path-dependent SDEs under mild continuity assumptions on the value functional.In this arti-
cle, we introduce a discretization scheme for generic control problems driven by the Brownian motion
filtration including path-dependent and non-semimartingale systems based on a generic Wiener func-
tional. The methodology provides a sound description of a rather general class of stochastic control
problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the
classical Markovian case. Based on selection measurable arguments and transition probabilities of an
underlying approximating random walk, we also provide a concrete method of computing -optimal
controls. The methodology is applied to a stochastic control problem based on path-dependent SDEs
under mild continuity assumptions on the value functional.In this article, we introduce a discretization
scheme for generic control problems driven by the Brownian motion filtration including path-dependent
and non-semimartingale systems based on a generic Wiener functional. The methodology provides a
sound description of a rather general class of stochastic control problems based on a class of Hamilton-
Jacobi-Bellman-type equations which is similar in spirit to the classical Markovian case. Based on
selection measurable arguments and transition probabilities of an underlying approximating random
walk, we also provide a concrete method of computing -optimal controls. The methodology is applied
to a stochastic control problem based on path-dependent SDEs under mild continuity assumptions on
the value functional.In this article, we introduce a discretization scheme for generic control problems
driven by the Brownian motion filtration including path-dependent and non-semimartingale systems
based on a generic Wiener functional. The methodology provides a sound description of a rather gen-
eral class of stochastic control problems based on a class of Hamilton-Jacobi-Bellman-type equations
which is similar in spirit to the classical Markovian case. Based on selection measurable arguments
and transition probabilities of an underlying approximating random walk, we also provide a concrete
method of computing -optimal controls. The methodology is applied to a stochastic control problem
based on path-dependent SDEs under mild continuity assumptions on the value functional.In this arti-
cle, we introduce a discretization scheme for generic control problems driven by the Brownian motion
filtration including path-dependent and non-semimartingale systems based on a generic Wiener func-
tional. The methodology provides a sound description of a rather general class of stochastic control
problems based on a class of Hamilton-Jacobi-Bellman-type equations which is similar in spirit to the
6 STOCHASTIC OPTIMAL CONTROL FOR PATH-DEPENDENT SYSTEMS

classical Markovian case. Based on selection measurable arguments and transition probabilities of an
underlying approximating random walk, we also provide a concrete method of computing -optimal
controls. The methodology is applied to a stochastic control problem based on path-dependent SDEs
under mild continuity assumptions on the value functional.

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