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math.OC2023
Risk-Minimizing Two-Player Zero-Sum Stochastic Differential Game via Path Integral Control
Apurva Patil, Yujing Zhou, David Fridovich-Keil +1
This paper addresses a continuous-time risk-minimizing two-player zero-sum stochastic differential game (SDG), in which each player aims to minimize its probability of failure. Fai…
math.OC2022★ 1 cited
Chance-Constrained Stochastic Optimal Control via Path Integral and Finite Difference Methods
Apurva Patil, Alfredo Duarte, Aislinn Smith +2
This paper addresses a continuous-time continuous-space chance-constrained stochastic optimal control (SOC) problem via a Hamilton-Jacobi-Bellman (HJB) partial differential equatio…