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Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle.

Zhipeng HuangBalint NegyesiCornelis W. Oosterlee
Published in: CoRR (2024)
Keyphrases
  • control problems
  • probabilistic model
  • continuous state spaces
  • similarity measure
  • reinforcement learning
  • convergence rate
  • objective function
  • monte carlo
  • model free