A Weak Martingale Approach to Linear-Quadratic McKean-Vlasov Stochastic Control Problems.

Matteo Basei Huyên Pham

Published in: J. Optim. Theory Appl. (2019)

Keyphrases

control problems
optimal control
linear quadratic
dynamic programming
stochastic control
reinforcement learning
control strategy
brownian motion
queueing systems
control law
continuous state spaces