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The optimal control problem with state constraints for forward-backward stochastic systems with jumps.

Qingmeng Wei
Published in: IMA J. Math. Control. Inf. (2017)
Keyphrases
  • optimal control
  • forward backward
  • stochastic systems
  • control problems
  • dynamic programming
  • reinforcement learning
  • stochastic models
  • machine learning
  • markov chain
  • sample path
  • optimal control problems