Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control (Q6088349)
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scientific article; zbMATH DE number 7766501
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control |
scientific article; zbMATH DE number 7766501 |
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Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control (English)
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16 November 2023
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stochastic optimal control problems
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generalized solutions of Hamilton-Jacobi equations
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non-linear control systems
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Monte Carlo methods
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stochastic control and game theory
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parametric optimization
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