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This Chapter discusses the use of GPs as emulators for more general stochastic control problems, extending the emulation of the continuation values in Chap. 5 to other settings. We outline some of the extant applications of GPs in switching control, continuous control and impulse control, showcasing GPs as a tool for implementing dynamic programming value function approximation.

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Stochastic Control

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  • 发表日期：

    2025年

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  • Michael Ludkovski,
  • Jimmy Risk

摘要

This Chapter discusses the use of GPs as emulators for more general stochastic control problems, extending the emulation of the continuation values in Chap. 5 to other settings. We outline some of the extant applications of GPs in switching control, continuous control and impulse control, showcasing GPs as a tool for implementing dynamic programming value function approximation.