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Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
16 references·1 citing·43 second hop
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References

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  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
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  • 2014A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization89 cited
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  • 2015Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

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46 cited
  • 2000Hamilton–Jacobi–Bellman Equations for the Optimal Control of the Duncan–Mortensen–Zakai Equation44 cited
  • 2018Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem36 cited
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    • 2021Recurrent neural networks for stochastic control problems with delay26 cited