Explicit solution of relative entropy weighted control

DOI10.1016/j.sysconle.2014.08.001zbMath1297.93181arXiv1205.6946OpenAlexW2951021288MaRDI QIDQ465547

Hilbert J. Kappen, Joris Bierkens

Publication date: 23 October 2014

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.6946

zbMATH Keywords

relative entropyBrownian motionstochastic optimal controlMalliavin calculusItô calculusMonte-Carlo samplingpath integral control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

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Cites Work

• A variational representation for certain functionals of Brownian motion
• Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
• A generalized clark representation formula, with application to optimal portfolios
• Optimal Control of the Running Max
• The Malliavin Calculus and Related Topics
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