Infinite horizon optimal control of forward-backward stochastic differential equations with delay.

Nacira Agram Bernt Øksendal

Published in: J. Comput. Appl. Math. (2014)

Keyphrases

optimal control
infinite horizon
forward backward
brownian motion
stochastic differential equations
finite horizon
dynamic programming
hidden markov models
stochastic demand
control strategy
production planning
average cost
single item
fixed cost
reinforcement learning
decision making
long run
periodic review