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Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs

文献类型：期刊论文

作者Fu, Yu3,4,5; Zhao, Weidong4,5; Zhou, Tao1,2
刊名NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
出版日期2020-05-01
卷号13期号:2页码:296-319
关键词Forward backward stochastic differential equations stochastic optimal control stochastic maximum principle projected quasi-Newton methods
ISSN号1004-8979
DOI10.4208/nmtma.OA-2019-0137
英文摘要This work is concerned with numerical schemes for stochastic optimal control problems (SOCPs) by means of forward backward stochastic differential equations (FBSDEs). We first convert the stochastic optimal control problem into an equivalent stochastic optimality system of FBSDEs. Then we design an efficient second order FBSDE solver and an quasi-Newton type optimization solver for the resulting system. It is noticed that our approach admits the second order rate of convergence even when the state equation is approximated by the Euler scheme. Several numerical examples are presented to illustrate the effectiveness and the accuracy of the proposed numerical schemes.
资助项目Natural Science Foundations of Shandong Province[ZR2017BA016] ; National Natural Science Foundations of China[11701335] ; National Natural Science Foundations of China[11571351] ; National Natural Science Foundations of China[11571206] ; National Natural Science Foundations of China[11871068] ; National Natural Science Foundations of China[11831010] ; Science Challenge Project by COSTIND[TZ2018001] ; Science and Technology Plan for Youth Innovation of Colleges and Universities of Shandong Province[2019KJI005] ; SDUST Research Fund[2015TDJH105] ; Scientific Research Foundation of Shandong University of Science and Technology for Recruited Talents[2017RCJJ065]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000519598500002
出版者GLOBAL SCIENCE PRESS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/50916]  
专题中国科学院数学与系统科学研究院
通讯作者Zhao, Weidong
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, CMIS, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China
3.Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266590, Peoples R China
4.Shandong Univ, Inst Finance, Jinan 250100, Shandong, Peoples R China
5.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
推荐引用方式
GB/T 7714		 Fu, Yu,Zhao, Weidong,Zhou, Tao. Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs[J]. NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,2020,13(2):296-319.
APA Fu, Yu,Zhao, Weidong,&Zhou, Tao.(2020).Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs.NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,13(2),296-319.
MLA Fu, Yu,et al."Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs".NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS 13.2(2020):296-319.

入库方式： OAI收割

来源：数学与系统科学研究院

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