Explicit solution of relative entropy weighted control (Q465547)
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scientific article; zbMATH DE number 6360907
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| English | Explicit solution of relative entropy weighted control |
scientific article; zbMATH DE number 6360907 |
Statements
Explicit solution of relative entropy weighted control (English)
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23 October 2014
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stochastic optimal control
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Itô calculus
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Brownian motion
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Malliavin calculus
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relative entropy
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path integral control
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Monte-Carlo sampling
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0.7252207398414612
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0.7208247780799866
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0.7205190658569336
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