Stochastic control for BSDEs and ABSDEs with Markov chain noises.

Zhe Yang Robert J. Elliott

Published in: Int. J. Control (2020)

Keyphrases

markov chain
stochastic process
brownian motion
steady state
queueing systems
transition probabilities
monte carlo
markov process
markov processes
random walk
stationary distribution
state space
optimal control
anisotropic diffusion