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On the Time Discretization of the Feynman-Kac Forward-Backward Stochastic Differential Equations for Value Function Approximation.
Kelsey P. Hawkins
Ali Pakniyat
Panagiotis Tsiotras
Published in:
CDC (2021)
Keyphrases
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forward backward
stochastic differential equations
maximum a posteriori estimation
hidden markov models
brownian motion
additive gaussian noise
fractional brownian motion
state space
diffusion process
non stationary
optimal control
multiscale
denoising
higher order
differential equations
poisson process