Stochastic optimal control via forward and backward stochastic differential equations and importance sampling
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Publication:680513
DOI10.1016/j.automatica.2017.09.004zbMath1378.93144arXiv1509.02195OpenAlexW2140866181MaRDI QIDQ680513
Evangelos A. Theodorou, Ioannis Exarchos
Publication date: 23 January 2018
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.02195
Linear regression; mixed models (62J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20)
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