Deep learning method for solving stochastic optimal control problem via stochastic maximum principle

5 Jul 2020Shaolin JiShige PengYing PengXichuan Zhang

In this paper, we aim to solve the stochastic optimal control problem via deep learning. Through the stochastic maximum principle and its corresponding Hamiltonian system, we propose a framework in which the original control problem is reformulated as a new one... (read more)

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