most citedA Backward SDE Method for Uncertainty Quantification in Deep Learning

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math.OC2020

An efficient numerical algorithm for solving data driven feedback control problems

Richard Archibald, Feng Bao, Jiongmin Yong +1

The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an Itô type stochastic differential equatio…