Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients.
Fu ZhangYuchao DongQingxin MengPublished in: SIAM J. Control. Optim. (2020)
Keyphrases
- optimal control
- linear quadratic
- optimal control problems
- dynamic programming
- brownian motion
- control problems
- closed loop
- vector valued
- feedback control
- stochastic control
- dynamical systems
- infinite horizon
- markov chain
- control strategy
- differential equations
- reinforcement learning
- hamilton jacobi bellman
- gaussian model
- loss function
- control system
- multiscale
- neural network