Stochastic Fokker-Planck Equations for Conditional McKean-Vlasov Jump Diffusions and Applications to Optimal Control.
Nacira AgramBernt ØksendalPublished in: SIAM J. Control. Optim. (2023)
Keyphrases
- closed form solutions
- brownian motion
- optimal control
- stochastic control
- optimal control problems
- feedback control
- dynamic programming
- control problems
- real time
- markov chain
- control law
- control strategy
- hamilton jacobi bellman
- linear quadratic
- risk sensitive
- vector valued
- infinite horizon
- differential equations
- reinforcement learning
- neural network