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Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains.
Elena Bandini
Published in:
SIAM J. Control. Optim. (2019)
Keyphrases
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optimal control
optimal control problems
brownian motion
stochastic differential equations
control problems
dynamic programming
control strategy
continuous functions
reinforcement learning
infinite horizon
real time
mathematical model
markov decision processes
linear quadratic