Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes.

Jinbiao Wu Zaiming Liu

Published in: Int. J. Control (2020)

Keyphrases

optimal control
stochastic systems
control problems
stochastic models
dynamic programming
infinite horizon
control strategy
stochastic processes
reinforcement learning
confidence intervals
markov random field
control law
average cost
sample path
probability distribution
fixed point