English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

In this paper we study the optimal stochastic control problem for apath-dependent stochastic system under a recursive path-dependent costfunctional, whose associated Bellman equation from dynamic programmingprinciple is a path-dependent fully nonlinear partial differential equation ofsecond order. A novel notion of viscosity solutions is introduced. UsingDupire's functional It\^o calculus, we characterize the value functional of theoptimal stochastic control problem as the unique viscosity solution to theassociated path-dependent Bellman equation.

Path-Dependent Optimal Stochastic Control and Viscosity Solution of Associated Bellman Equations