Stochastic Control Representations for Penalized Backward Stochastic Differential Equations.
Gechun LiangPublished in: SIAM J. Control. Optim. (2015)
Keyphrases
- 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