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Discrete time approximation of fully nonlinear HJB equations via stochastic control problems under the G-expectation framework.
Lianzi Jiang
Published in:
CoRR (2021)
Keyphrases
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control problems
optimal control
linear quadratic
hamilton jacobi bellman
dynamic programming
dynamic model
markov processes
mathematical model
steady state
differential equations
adaptive control
queueing systems
brownian motion
continuous state spaces