| Autor: |
Lima, Lourival, Ruffino, Paulo, Souza, Francys |
| Rok vydání: |
2020 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| DOI: |
10.1140/epjs/s11734-021-00185-y |
| Popis: |
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 {\it skeleton} structure. This allows to obtain an $\epsilon$-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. |
| Databáze: |
arXiv |
| Externí odkaz: |
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