Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (Q825596)
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scientific article; zbMATH DE number 7447722
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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; zbMATH DE number 7447722 |
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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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17 December 2021
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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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