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math.OC2022
Distributionally Robust Covariance Steering with Optimal Risk Allocation
Venkatraman Renganathan, Joshua Pilipovsky, Panagiotis Tsiotras
This article extends the optimal covariance steering (CS) problem for discrete time linear stochastic systems modeled using moment-based ambiguity sets. To hedge against the uncert…
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…