"A Forward-backward Algorithm for Stochastic Control Problems - Using the ..."

Stephan E. Ludwig et al. (2012)

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type: Conference or Workshop Paper

metadata version: 2012-05-05

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  - conf/icores/LudwigSHP12
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Stephan E. Ludwig, Justin A. Sirignano, Ruojun Huang, George Papanicolaou:
A Forward-backward Algorithm for Stochastic Control Problems - Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming. ICORES 2012: 83-89

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