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Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps.
Bernt Øksendal
Agnès Sulem
Published in:
SIAM J. Control. Optim. (2009)
Keyphrases
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optimal control
brownian motion
forward backward
stochastic differential equations
hidden markov models
dynamic programming
markov chain
reinforcement learning
infinite horizon
maximum a posteriori estimation
optimal control problems
control strategy
knapsack problem
stochastic process