Stochastic Optimal Control with Neural Networks and Application to a Retailer Inventory Problem

2006 ◽  
Author(s):  
Zhongwu Huang ◽  
Xiaohua Wang ◽  
S.N. Balakrishnan
Keyword(s):  
Neural Networks ◽  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Inventory Problem

scholarly journals BSDEs with Logarithmic Growth Driven by Brownian Motion and Poisson Random Measure and Connection to Stochastic Control Problem

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Khalid Oufdil
Keyword(s):  
Optimal Control ◽  
Brownian Motion ◽  
Control Problem ◽  
Stochastic Optimal Control ◽  
Random Measure ◽  
Poisson Random Measure ◽  
One Dimensional ◽  
Stochastic Optimal Control Problem ◽  
Uniqueness Of The Solution ◽  
Logarithmic Growth

Abstract In this paper, we study one-dimensional backward stochastic differential equations under logarithmic growth in the 𝑧-variable ( | z | ⁢ | ln ⁡ | z | | ) (\lvert z\rvert\sqrt{\lvert\ln\lvert z\rvert\rvert}) . We show the existence and the uniqueness of the solution when the noise is driven by a Brownian motion and an independent Poisson random measure. In addition, we highlight the connection of such BSDEs with stochastic optimal control problem, where we show the existence of an optimal strategy for the control problem.

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