Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (Q825596): Difference between revisions

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English	Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space	scientific article

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title

Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (English)

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SN Partial Differential Equations and Applications

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publication date

17 December 2021

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full work available at URL

https://arxiv.org/abs/2005.05409

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zbMATH Keywords

Hamilton-Jacobi-Bellman PDEs

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forward-backward SDEs

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optimal control of diffusions

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divergences between probability measures

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rare event simulation

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deep learning

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iterative diffusion optimisation techniques,

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MaRDI publication profile

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Identifiers

zbMATH Open document ID

1480.35101

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Mathematics Subject Classification ID

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10.1007/S42985-021-00102-X

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Sitelinks

Mathematics(1 entry)

mardi Publication:825596

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