An Efficient Gradient Projection Method for Stochastic Optimal Control Problems
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Publication:4596726
DOI10.1137/17M1123559zbMath1386.60239OpenAlexW2770316314MaRDI QIDQ4596726
Weidong Zhao, Tao Zhou, Tao Tang, Bo Gong, Wen-bin Liu
Publication date: 8 December 2017
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1123559
stochastic optimal controlbackward stochastic differential equationsconditional expectationsgradient projection methods
Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Free boundary problems for PDEs (35R35) Partial differential equations of mathematical physics and other areas of application (35Q99)
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