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20162026
most citedOn the Relation between the Minimum Principle and Dynamic Programming for Classical and Hybrid Control Systems

33 citations · 33 across the 5 of their papers we have counts for

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Showing 2021 · math.OCShow all

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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…