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Stochastic Maximum Principle for Controlled Backward Delayed System via Advanced Stochastic Differential Equation.
Li Chen
Jianhui Huang
Published in:
J. Optim. Theory Appl. (2015)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
fractional brownian motion
additive gaussian noise
diffusion process
stochastic process
long range
differential equations
optimal policy
mathematical model