Multi-valued stochastic differential equations driven by G-Brownian motion and related stochastic control problems.
Yong RenJun WangLanying HuPublished in: Int. J. Control (2017)
Keyphrases
- brownian motion
- optimal control
- control problems
- stochastic differential equations
- stochastic process
- dynamic programming
- reinforcement learning
- control strategy
- differential equations
- stochastic processes
- diffusion process
- poisson process
- infinite horizon
- maximum a posteriori estimation
- queue length
- motion estimation
- heavy traffic
- vector valued