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Maximum Principle of Optimal Stochastic Control with Terminal State Constraint and Its Application in Finance.

Yu Zhuo
Published in: J. Syst. Sci. Complex. (2018)
Keyphrases
  • stochastic control
  • optimal control
  • optimal solution
  • dynamic programming
  • state space
  • operations management
  • brownian motion
  • machine learning
  • state dependent
  • queueing systems