Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models.
Filippo De FeoSalvatore FedericoAndrzej SwiechPublished in: SIAM J. Control. Optim. (2024)
Keyphrases
- optimal control problems
- differential equations
- optimal control
- brownian motion
- dynamical systems
- control problems
- control theory
- dynamic programming
- boundary value problem
- ordinary differential equations
- feed forward artificial neural networks
- feedback control
- numerical solution
- stochastic control
- continuous functions
- numerical methods
- control strategy
- production planning
- infinite horizon
- real time
- higher order
- reinforcement learning
- linear quadratic
- computer vision
- neural network