Solving Feynman-Kac Forward–Backward SDEs Using McKean-Markov Branched Sampling-Reference-Cited by-同舟云学术

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Solving Feynman-Kac Forward–Backward SDEs Using McKean-Markov Branched Sampling

Published:2024-09 Issue:9 Volume:69 Page:5695-5710
ISSN:0018-9286
Container-title:IEEE Transactions on Automatic Control
language:
Short-container-title:IEEE Trans. Automat. Contr.

Author:

Hawkins Kelsey P.¹^ORCID,Pakniyat Ali²^ORCID,Theodorou Evangelos³^ORCID,Tsiotras Panagiotis³^ORCID

Affiliation:

1. Institute for Robotics and Intelligent Machines, Georgia Institute of Technology, Atlanta, GA, USA

2. Department of Mechanical Engineering, University of Alabama, Tuscaloosa, AL, USA

3. School of Aerospace Engineering and the Institute for Robotics and Intelligent Machines, Georgia Institute of Technology, Atlanta, GA, USA

Funder

NSF

ONR

Publisher

Institute of Electrical and Electronics Engineers (IEEE)

Link

https://ieeexplore.ieee.org/ielam/9/10654305/10380311-aam.pdf

Reference40 articles.

1. Stochastic Controls

2. Adapted solution of a backward stochastic differential equation

3. Backward stochastic differential equations and applications to optimal control

4. Backward Stochastic Differential Equations in Finance

5. Stochastic optimal control via forward and backward stochastic differential equations and importance sampling

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