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实体 Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations

Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations

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  1. TOOL · CL_123267 ·

    新研究通过随机最大值原理构建伴随匹配

    一篇题为“Adjoint Matching through the Lens of the Stochastic Maximum Principle in Optimal Control”的新研究论文,由Jiequn Han撰写,严格推导并推广了随机最优控制问题的伴随匹配方法。该工作构建了一个哈密顿伴随匹配目标,并证明了其与Hamilton-Jacobi-Bellman平稳性条件的关系。对于扩散项与状态和控制无关的情况,该论文恢复了先…