The dynamic programming equation for a stochastic volatility optimal control problem.
Viorel BarbuPublished in: Autom. (2019)
Keyphrases
- optimal control
- dynamic programming
- optimal control problems
- hamilton jacobi bellman
- brownian motion
- stochastic control
- feedback control
- control problems
- infinite horizon
- linear quadratic
- risk sensitive
- class of nonlinear systems
- state space
- control strategy
- greedy algorithm
- stock market
- multistage
- reinforcement learning
- approximate dynamic programming
- linear programming
- control law
- markov decision processes
- numerical solution
- data mining
- optimal solution
- denoising
- lyapunov function
- optimal policy
- mathematical model