Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs

DOI10.4208/NMTMA.OA-2019-0137zbMath1463.65005OpenAlexW3011669027MaRDI QIDQ5143942

Yu Fu, Tao Zhou, Weidong Zhao

Publication date: 14 January 2021

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/nmtma.oa-2019-0137

zbMATH Keywords

stochastic optimal controlstochastic maximum principleforward backward stochastic differential equationsprojected quasi-Newton methods

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Optimality conditions for problems involving randomness (49K45) Numerical methods for variational inequalities and related problems (65K15)

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