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Stochastic Control Representations for Penalized Backward Stochastic Differential Equations.
Gechun Liang
Published in:
SIAM J. Control. Optim. (2015)
Keyphrases
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stochastic differential equations
brownian motion
stochastic control
stochastic process
optimal control
differential equations
diffusion process
poisson process
stochastic processes
vector valued
heavy traffic
closed form solutions
maximum likelihood
least squares
queue length
maximum a posteriori estimation
queueing networks
stochastic model
arrival rate
asymptotically optimal
markov chain
probability distribution
long run
learning algorithm
dynamical systems
steady state
model selection