Results 121 to 130 of about 48,662 (223)

Representation of Weak Solutions of Convex Hamilton–Jacobi–Bellman Equations on Infinite Horizon [PDF]

, 2020
Vincenzo Basco
openalex   +1 more source

On the Principle of Optimality for Nonstationary Deterministic Dynamic Programming [PDF]

This note studies a general nonstationary infinite-horizon optimization problem in discrete time. We allow the state space in each period to be an arbitrary set, and the return function in each period to be unbounded.
Takashi Kamihigashi
core  

On the Unitarity of the Stueckelberg Wave Equation and Measurement as Bayesian Update from Maximum Entropy Prior Distribution

Quantum Reports
The Stueckelberg wave equation is transformed into a quantum telegraph equation and a set of stationary states is obtained as unitary solutions. As it has been shown previously that this PDE relates to the Dirac operator, and on the other hand it is a ...
Jussi Lindgren
doaj   +1 more source

A stochastic HJB equation for optimal control of forward-backward SDEs

, 2016
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic partial ...
Sulem, Agnès, Zhang, Tusheng, Øksendal, Bernt   +2 more
core   +1 more source

Extended mean-field control problems with Poissonian common noise: Stochastic maximum principle and Hamiltonian-Jacobi-Bellman equation [PDF]

Lijun Bo, Jingfei Wang, Xiaoli Wei, Xiang Yu   +3 more
openalex   +1 more source

Correction: a comparison principle for semilinear Hamilton–Jacobi–Bellman equations in the Wasserstein space [PDF]

Samuel Daudin, Benjamin Seeger
openalex   +1 more source

Comparison Principle for Hamilton-Jacobi-Bellman Equations via a Bootstrapping Procedure [PDF]

, 2021
Richard C. Kraaij, Mikola C. Schlottke
openalex   +1 more source

Optimal investment and consumption for pairs trading financial markets on small time interval

, 2018
In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for power utility functions for investment/consumption problem.
Albosaily, Sahar, Pergamenshchikov, Serge   +1 more
core  

A review from the PDE viewpoint of Hamilton-Jacobi-Bellman Equations Arising in Optimal Control with Vectorial Cost [PDF]

, 2014
Nikos Katzourakis, Tristan Pryer
openalex   +1 more source

Finite element approximation of Hamilton–Jacobi–Bellman equations with nonlinear mixed boundary conditions [PDF]

, 2023
Bartosz Jaroszkowski, Max Jensen
openalex   +1 more source