Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control
DOI10.1016/J.AUTOMATICA.2023.111281zbMath1530.93544arXiv2103.14246OpenAlexW3201894628MaRDI QIDQ6088349
Kelsey P. Hawkins, Ali Pakniyat, Panagiotis Tsiotras
Publication date: 16 November 2023
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.14246
parametric optimizationMonte Carlo methodsstochastic optimal control problemsstochastic control and game theorynon-linear control systemsgeneralized solutions of Hamilton-Jacobi equations
Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Stochastic optimal control via forward and backward stochastic differential equations and importance sampling
- On measure transformations for combined filtering and parameter estimation in discrete time
- Forward-backward stochastic differential equations and their applications
- Stochastic \(L^1\)-optimal control via forward and backward sampling
- Convex Duality Approach to the Optimal Control of Diffusions
- Backward Stochastic Differential Equations in Finance
- A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS
- Stochastic Calculus and Applications
This page was built for publication: Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control