On the Backward Stochastic Riccati Equation in Infinite Dimensions.
Giuseppina GuatteriGianmario TessitorePublished in: SIAM J. Control. Optim. (2005)
Keyphrases
- forward and backward
- differential equations
- hamilton jacobi
- fractional order
- stochastic differential equations
- monte carlo
- bi directional
- stochastic processes
- learning automata
- forward backward
- genetic algorithm
- stochastic optimization
- feedback control
- velocity field
- stochastic programming
- multiple dimensions
- numerical methods
- multi dimensional
- search algorithm
- information systems