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A Jump Ornstein-Uhlenbeck Bridge Based on Energy-Optimal Control and Its Self-Exciting Extension.

Hidekazu YoshiokaKazutoshi Yamazaki
Published in: IEEE Control. Syst. Lett. (2023)
Keyphrases
  • optimal control
  • brownian motion
  • dynamic programming
  • control strategy
  • reinforcement learning
  • infinite horizon
  • optimal control problems
  • markov chain