Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control

DOI10.1016/J.AUTOMATICA.2023.111281zbMath1530.93544arXiv2103.14246OpenAlexW3201894628MaRDI QIDQ6088349

Kelsey P. Hawkins, Ali Pakniyat, Panagiotis Tsiotras

Publication date: 16 November 2023

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.14246

zbMATH Keywords

parametric optimizationMonte Carlo methodsstochastic optimal control problemsstochastic control and game theorynon-linear control systemsgeneralized solutions of Hamilton-Jacobi equations

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Stochastic Calculus and Applications

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