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Doctoral Thesis
DOI
10.11606/T.104.2018.tde-09022018-094900
Document
Author
Full name
Francys Andrews de Souza
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2017
Supervisor
Committee
Pinto Junior, Dorival Leão (President)
Catuogno, Pedro Jose
Fragoso, Marcelo Dutra
Rodriguez, Pablo Martin
Ruffino, Paulo Régis Caron
Title in Portuguese
Controle de sistemas não-Markovianos
Keywords in Portuguese
Controle estocástico
Controle ótimo
Equações diferenciais estocásticas
Princípio da programação dinâmica
Abstract in Portuguese
Nesta tese, apresentamos uma metodologia concreta para calcular os controles -ótimos para sistemas estocásticos não-Markovianos. A análise trajetória a trajetória e o uso da estrutura de discretização proposta por Leão e Ohashi [36] conjuntamente com argumentos de seleção mensuráveis, nos forneceu uma estrutura para transformar um problema infinito dimensional para um finito dimensional. Desta forma, garantimos uma descrição concreta para uma classe bastante geral de problemas.
Title in English
Control of non-Markovian systems
Keywords in English
Dinamic programing principle
Optimal control
Stochastic control
Stochastic differential equations
Abstract in English
In this thesis, we present a concrete methodology to calculate the -optimal controls for non-Markovian stochastic systems. A pathwise analysis and the use of the discretization structure proposed by Leão and Ohashi [36] jointly with measurable selection arguments, allows us a structure to transform an infinite dimensional problem into a finite dimensional. In this way, we guarantee a concrete description for a rather general class of stochastic problems.
 
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Publishing Date
2018-02-09
 
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