A Neural Network Approach for Stochastic Optimal Control

The Mathematical Theory of Optimal Processes.

E. K. Blum, Pontryagin, Boltyanskii et al. · American Mathematical Monthly · 1963 · 4.3K citations

Natural Sciences, Mathematics, Optimization +13

Solving high-dimensional partial differential equations using deep learning

Jiequn Han, Arnulf Jentzen, E Weinan · Proceedings of the National Academy of Sciences · 2018 · 1.7K citations · Full text

Computing, Computer Science, Physics +12

Numerical Methods for Stochastic Control Problems in Continuous Time

Harold J. Kushner · SIAM Journal on Control and Optimization · 1990 · 1.5K citations

Engineering, Mathematics, Dynamical Systems +13

Deep Learning-Based Numerical Methods for High-Dimensional Parabolic Partial Differential Equations and Backward Stochastic Differential Equations

E Weinan, Jiequn Han, Arnulf Jentzen · Communications in Mathematics and Statistics · 2017 · 828 citations · Full text

Natural Sciences, Mathematics, Physics +16

Solving forward-backward stochastic differential equations explicitly — a four step scheme

Jin Ma, Philip Protter, Jiongmin Yong · Probability Theory and Related Fields · 1994 · 755 citations · Full text

Engineering, Mathematics, Physics +12