Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton--Jacobi--Bellman Equations.
Marco FuhrmanFederica MasieroGianmario TessitorePublished in: SIAM J. Control. Optim. (2010)
Keyphrases
- optimal control
- stochastic differential equations
- brownian motion
- hamilton jacobi bellman
- stochastic control
- control problems
- optimal control problems
- dynamic programming
- control strategy
- reinforcement learning
- linear quadratic
- differential equations
- infinite horizon
- real time
- queueing systems
- nonlinear systems
- stochastic process
- state space
- special case
- machine learning