Linear-Quadratic Control of Backward Stochastic Differential Equations.
Andrew E. B. LimXun Yu ZhouPublished in: SIAM J. Control. Optim. (2001)
Keyphrases
- stochastic differential equations
- linear quadratic
- optimal control
- brownian motion
- vector valued
- dynamical systems
- closed loop
- dynamic programming
- maximum a posteriori estimation
- reinforcement learning
- control system
- control strategy
- additive gaussian noise
- mathematical model
- gaussian model
- long range
- stochastic process
- feature vectors