Path integral approach to stochastic optimal control under non-Gaussian white noise

[1]  B. Øksendal,et al.  Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance , 2004 .

[2]  G. Saridis,et al.  On Successive Approximation of Optimal Control of Stochastic Dynamic Systems , 2005 .

[3]  B. Øksendal,et al.  Applied Stochastic Control of Jump Diffusions , 2004, Universitext.

[4]  M. Yamakita,et al.  Adaptive output optimal control algorithm for unknown system dynamics based on policy iteration , 2010, Proceedings of the 2010 American Control Conference.

[5]  Frank L. Lewis,et al.  Online actor-critic algorithm to solve the continuous-time infinite horizon optimal control problem , 2010, Autom..

[6]  Hilbert J. Kappen,et al.  An Iterative Method for Nonlinear Stochastic Optimal Control Based on Path Integrals , 2017, IEEE Transactions on Automatic Control.

[7]  J. L. Aravena,et al.  Power system fault detection and state estimation using Kalman filter with hypothesis testing , 1991 .

[8]  W. Fleming,et al.  Stochastic Optimal Control, International Finance and Debt , 2002, SSRN Electronic Journal.

[9]  Raphael N. Markellos,et al.  A jump diffusion model for VIX volatility options and futures , 2010 .

[10]  Huyen Pham,et al.  Continuous-time stochastic control and optimization with financial applications / Huyen Pham , 2009 .

[11]  F. N. Choudhury,et al.  Correction to 'Power system fault detection and state estimation using Kalman filter with hypotheses testing' (Jul 91 1025-1030) , 1991 .

[12]  H. Kappen.  Path integrals and symmetry breaking for optimal control theory , 2005, physics/0505066.