An Efficient Gradient Projection Method for Stochastic Optimal Control Problems (Q4596726)
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scientific article; zbMATH DE number 6816660
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Efficient Gradient Projection Method for Stochastic Optimal Control Problems |
scientific article; zbMATH DE number 6816660 |
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An Efficient Gradient Projection Method for Stochastic Optimal Control Problems (English)
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8 December 2017
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stochastic optimal control
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gradient projection methods
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backward stochastic differential equations
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conditional expectations
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