Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities.
Guomin LiuShanjian TangPublished in: SIAM J. Control. Optim. (2023)
Keyphrases
- optimal control
- optimal control problems
- brownian motion
- evolution equation
- dynamic programming
- control problems
- stochastic control
- infinite horizon
- curve evolution
- control strategy
- partial differential equations
- linear quadratic
- utility function
- reinforcement learning
- energy functional
- production planning
- total variation
- computer vision
- level set
- solving nonlinear