A Neural Network Approach for Stochastic Optimal Control-Reference-Cited by-同舟云学术

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A Neural Network Approach for Stochastic Optimal Control

Published:2024-09-03 Issue:5 Volume:46 Page:C535-C556
ISSN:1064-8275
Container-title:SIAM Journal on Scientific Computing
language:en
Short-container-title:SIAM J. Sci. Comput.

Author:

Li Xingjian¹,Verma Deepanshu¹,Ruthotto Lars¹^ORCID

Affiliation:

1. Department of Mathematics, Emory University, Atlanta, GA 30322 USA.

Funder

US DOE Office of Advanced Scientific Computing Research

Air Force Office of Scientific Research

National Science Foundation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference32 articles.

1. Backward-Forward Stochastic Differential Equations

2. A forward scheme for backward SDEs

3. An approximation scheme for the optimal control of diffusion processes

4. Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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