Malliavin Calculus and Optimal Control of Stochastic Volterra Equations.
Nacira AgramBernt ØksendalPublished in: J. Optim. Theory Appl. (2015)
Keyphrases
- optimal control
- optimal control problems
- linear quadratic
- brownian motion
- hamilton jacobi bellman
- control problems
- dynamic programming
- stochastic control
- risk sensitive
- differential equations
- class of nonlinear systems
- feedback control
- least squares
- control strategy
- infinite horizon
- reinforcement learning
- control law
- image enhancement
- numerical solution
- vector valued
- lyapunov function
- mathematical model
- linear systems
- production planning