Justin A Sirignano

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• 2012

  A forward-backward algorithm for stochastic control problems: Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming

  Ludwig, S. E., Sirignano, J. A., Huang, R. & Papanicolaou, G., 2012, ICORES 2012 - Proceedings of the 1st International Conference on Operations Research and Enterprise Systems. p. 83-89 7 p.

  Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

  • Forward-backward Stochastic Differential Equations
  • Stochastic Control Problem
  • Maximum Principle
  • Dynamic Programming
  • Optimality Conditions