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Backward stochastic differe...
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An Efficient Gradient Projection Method for Stochastic Optimal Control Problem with Expected Integral State Constraint
Journal article
Journal of Scientific Computing,2025, volume: 102, issue: 3
Authors:
Wang，Qiming
;
Liu，Wenbin
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Submit date：2025/03/10
Backward stochastic differential equation
Expected integral state constraint
Gradient projection method
Least square Monte Carlo
Stochastic optimal control
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