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math.DS2018
Singularly perturbed forward-backward stochastic differential equations: application to the optimal control of bilinear systems
Omar Kebiri, Lara Neureither, Carsten Hartmann
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fa…
math.DS2018★ 2 cited
Adaptive importance sampling with forward-backward stochastic differential equations
Omar Kebiri, Lara Neureither, Carsten Hartmann
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on p…