The Optimal Control of Fully-Coupled Forward-Backward Doubly Stochastic Systems Driven by Itô-Lévy Processes.
Wencan WangJinbiao WuZaiming LiuPublished in: J. Syst. Sci. Complex. (2019)
Keyphrases
- optimal control
- forward backward
- stochastic systems
- control problems
- dynamic programming
- stochastic models
- hidden markov models
- hamilton jacobi bellman
- confidence intervals
- sample path
- optimal control problems
- control strategy
- reinforcement learning
- stochastic processes
- control law
- infinite horizon
- policy iteration
- probability distribution
- machine learning