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   Articles with "modulated sdes" as a keyword



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Dynamic programming for semi-Markov modulated SDEs

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recommendations! Published in 2020 at "Optimization"

DOI: 10.1080/02331934.2020.1839072

Abstract: We consider a stochastic optimal control problem with state variable dynamics described by a stochastic differential equation of diffusive type modulated by a semi-Markov process with a finite state space. The time horizon is both… read more here.

Keywords: modulated sdes; programming semi; markov modulated; dynamic programming ... See more keywords