Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach.
Michael KohlmannXun Yu ZhouPublished in: SIAM J. Control. Optim. (2000)
Keyphrases
- stochastic differential equations
- brownian motion
- linear quadratic
- optimal control
- vector valued
- maximum a posteriori estimation
- dynamic programming
- closed loop
- dynamical systems
- fractional brownian motion
- differential equations
- control strategy
- additive gaussian noise
- reinforcement learning
- stochastic process
- image processing
- diffusion process
- wavelet packet
- long range
- random variables