Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs (Q5143942)
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scientific article; zbMATH DE number 7296120
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs |
scientific article; zbMATH DE number 7296120 |
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Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs (English)
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14 January 2021
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forward backward stochastic differential equations
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stochastic optimal control
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stochastic maximum principle
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projected quasi-Newton methods
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