Optimal control of backward stochastic differential equations: The linear-quadratic case.
Andrew E. B. LimXun Yu ZhouPublished in: CDC (2000)
Keyphrases
- optimal control
- brownian motion
- stochastic differential equations
- linear quadratic
- dynamic programming
- control strategy
- vector valued
- infinite horizon
- maximum a posteriori estimation
- reinforcement learning
- long range
- bayesian networks
- diffusion process
- mathematical model
- additive gaussian noise
- fractional brownian motion
- denoising