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Determination of state-dependent Girsanov’s control via solution of a stochastic optimal control problem using reinforcement learning
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DOI：10.1016/j.strusafe.2026.102714.png)
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Abstract
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• Constrained stochastic optimal control problem to establish Girsanov’s controls. • Formulation of optimization problem in the framework of Markov decision process. • Solution of the Markov decision process via reinforcement learning technique. • Deep deterministic policy gradient employed to solve the optimization problem.
Keywords:
Girsanov’s control
stochastic optimal control
Markov decision process
reinforcement learning
deep deterministic policy gradient
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