Batch sample-wise stochastic maximum principle with a higher-order forward scheme achieves O(sqrt(1/K + 1/N^2)) convergence for strongly convex stochastic optimal control problems.
Bensoussan, Lecture on stochastic control, in Nonlinear Filtering and Stochastic Control , Lecture Notes in Math
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Batch Sample-wise Stochastic Optimal Control via Stochastic Maximum Principle
Batch sample-wise stochastic maximum principle with a higher-order forward scheme achieves O(sqrt(1/K + 1/N^2)) convergence for strongly convex stochastic optimal control problems.