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A partial information linear-quadratic optimal control problem of backward stochastic differential equation with its applications.
Pengyan Huang
Guangchen Wang
Huanjun Zhang
Published in:
Sci. China Inf. Sci. (2020)
Keyphrases
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stochastic differential equations
optimal control
partial information
linear quadratic
brownian motion
incomplete information
dynamic programming
maximum a posteriori estimation
control strategy
reinforcement learning
infinite horizon