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math.OC2022★ 2 cited
Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Multiplicative Noise
Fengjiao Liu, Panagiotis Tsiotras
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The…
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…