Expand description
Generic stochastic optimal control abstraction.
This module defines a control-problem contract that is independent of any market-making interpretation. A model supplies the running reward, the infinitesimal generator, the terminal condition, and the control optimizer; numerical solvers consume only this trait.
Structs§
- State
Derivatives - Derivatives of the value function at a state.
Traits§
- Control
Problem - A finite-horizon stochastic optimal control problem.