A modified MSA for stochastic control problems (Q2234329)

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scientific article

Language	Label	Description	Also known as
English	A modified MSA for stochastic control problems	scientific article

Statements

scholarly article

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A modified MSA for stochastic control problems (English)

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Applied Mathematics and Optimization

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publication date

19 October 2021

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full work available at URL

https://arxiv.org/abs/2007.05209

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zbMATH Keywords

stochastic control

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Pontryagin optimality

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backward stochastic differential equation

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MaRDI profile type

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Backward-forward stochastic differential equations

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FUNCTIONAL EQUATIONS IN THE THEORY OF DYNAMIC PROGRAMMING. V. POSITIVITY AND QUASI-LINEARITY

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On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.

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A forward-backward stochastic algorithm for quasi-linear PDEs

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The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains

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Numerical methods for forward-backward stochastic differential equations

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Backward Stochastic Differential Equations in Finance

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A monotone scheme for high-dimensional fully nonlinear PDEs

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On finite-difference approximations for normalized Bellman equations

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Convergence of the deep BSDE method for coupled FBSDEs

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Solving high-dimensional partial differential equations using deep learning

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A stability approach for solving multidimensional quadratic BSDEs

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Solution of forward-backward stochastic differential equations

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On the policy improvement algorithm in continuous time

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Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions

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On a method of successive approximations for the solution of problems of optimal control

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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On Numerical Approximations of Forward-Backward Stochastic Differential Equations

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Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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Continuous-time stochastic control and optimization with financial applications

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Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation

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Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S00245-021-09750-2

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Sitelinks

Mathematics(1 entry)

mardi Publication:2234329

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