3 papers
math.OC2022
Solving Feynman-Kac Forward Backward SDEs Using McKean-Markov Branched Sampling
Kelsey P. Hawkins, Ali Pakniyat, Evangelos Theodorou +1
We propose a new method for the numerical solution of the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value functi…
math.OC2021
Value Function Estimators for Feynman-Kac Forward-Backward SDEs in Stochastic Optimal Control
Kelsey P. Hawkins, Ali Pakniyat, Panagiotis Tsiotras
Two novel numerical estimators are proposed for solving forward-backward stochastic differential equations (FBSDEs) appearing in the Feynman-Kac representation of the value functio…
math.OC2020
Forward-Backward Rapidly-Exploring Random Trees for Stochastic Optimal Control
Kelsey P. Hawkins, Ali Pakniyat, Evangelos Theodorou +1
We propose a numerical method for the computation of the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value functio…