An efficient gradient projection method for stochastic optimal control problems
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backward stochastic differential equationsconditional expectationsgradient projection methodsstochastic optimal control
Partial differential equations of mathematical physics and other areas of application (35Q99) Free boundary problems for PDEs (35R35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20)
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