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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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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…