Stochastic \(L^1\)-optimal control via forward and backward sampling

DOI10.1016/j.sysconle.2018.06.005zbMath1402.93265OpenAlexW2820282023MaRDI QIDQ1624907

Evangelos A. Theodorou, Ioannis Exarchos, Panagiotis Tsiotras

Publication date: 16 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2018.06.005

zbMATH Keywords

forward and backward stochastic differential equationsstochastic \(L^1\) optimal control

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)

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