Singularly Perturbed Forward-Backward Stochastic Differential Equations: Application to the Optimal Control of Bilinear Systems

Singularly Perturbed Forward-Backward Stochastic Differential Equations: Application to the Optimal Control of Bilinear Systems

We study linear-quadratic stochastic optimal control problems with bilinear state dependence where the underlying stochastic differential equation (SDE) has multiscale features. We show that, in the same way in which the underlying dynamics can be well approximated by a reduced-order dynamics in the...

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Bibliographic Details
Main Authors: Omar Kebiri, Lara Neureither, Carsten Hartmann
Format: Article
Language:English
Published: MDPI AG 2018-06-01
Series:Computation
Subjects:
linear quadratic stochastic control
bilinear systems
slow-fast dynamics
model reduction
forward-backward stochastic differential equations
least squares Monte Carlo
Online Access:http://www.mdpi.com/2079-3197/6/3/41

Internet

http://www.mdpi.com/2079-3197/6/3/41

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