Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes.
Andreas E. KyprianouRonnie LoeffenJosé Luis PérezPublished in: J. Appl. Probab. (2012)
Keyphrases
- optimal control
- optimal control problems
- control problems
- dynamic programming
- feedback control
- reinforcement learning
- risk sensitive
- class of nonlinear systems
- control strategy
- infinite horizon
- neural network
- stochastic processes
- control law
- lyapunov function
- dynamical systems
- stochastic control
- machine learning
- data mining