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Solution to Forward-Backward Stochastic Differential Equations With Random Coefficients and Application to Deterministic Optimal Control.
Hongdan Li
Juanjuan Xu
Huanshui Zhang
Published in:
IEEE Trans. Autom. Control. (2022)
Keyphrases
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optimal control
brownian motion
forward backward
optimal control problems
stochastic differential equations
control strategy
infinite horizon
machine learning
reinforcement learning
optimal solution
dynamic programming
state space
vector valued