Unlock: Hamilton–Jacobi–Bellman Equation
The PDE characterizing the value function of a continuous-time stochastic optimal control problem. The continuous-time analog of the discrete Bellman equation, the fully nonlinear PDE that nonlinear Feynman–Kac inverts via BSDEs, and the equation Deep BSDE solves numerically in high dimensions.
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Feynman–Kac FormulaAdvanced
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