Известия Иркутского государственного университета: Серия "Математика", 2017 An optimal control problem for discrete systems is considered. A method of successive improvements along with its modernization based on the expansion of the main structures of the core algorithm about the parameter is suggested.
V. A. Baturin
doaj +1 more source
Viscosity solutions to the Dirichlet problem of Bellman equation
Lietuvos Matematikos Rinkinys, 1998 There is not abstract.
Henrikas Pragarauskas
doaj +3 more sources
On Stability of Perturbed Nonlinear Switched Systems with Adaptive Reinforcement Learning
Energies, 2020 In this paper, a tracking control approach is developed based on an adaptive reinforcement learning algorithm with a bounded cost function for perturbed nonlinear switched systems, which represent a useful framework for modelling these converters, such ...
Phuong Nam Dao +3 more
doaj +1 more source
Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence
Mathematics, 2023 This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is assumed to be proportional to the individual’s salary.
Wujun Lv, Linlin Tian, Xiaoyi Zhang
doaj +1 more source
A General Setting and Solution of Bellman Equation in Monetary Theory
Journal of Applied Mathematics, 2014 As an important tool in theoretical economics, Bellman equation is very powerful in solving optimization problems of discrete time and is frequently used in monetary theory.
Xiaoli Gan, Wanbo Lu
doaj +1 more source
Ulam Stability of n-th Order Delay Integro-Differential Equations
Mathematics, 2021 In this paper, the Ulam stability of an n-th order delay integro-differential equation is given. Firstly, the existence and uniqueness theorem of a solution for the delay integro-differential equation is obtained using a Lipschitz condition and the ...
Shuyi Wang, Fanwei Meng
doaj +1 more source
Mixed Finite Element Approximation of the Hamilton-Jacobi-Bellman Equation with Cordes Coefficients
SIAM Journal on Numerical Analysis, 2019 A mixed finite element approximation of $H^2$ solutions to the fully nonlinear Hamilton--Jacobi--Bellman equation, with coefficients that satisfy the Cordes condition, is proposed and analyzed.
D. Gallistl, E. Süli
semanticscholar +1 more source
Dynamic Programming Principle and Associated Hamilton-Jacobi-Bellman Equation for Stochastic Recursive Control Problem with Non-Lipschitz Aggregator [PDF]
, 2015 In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the running cost is continuous but not necessarily Lipschitz with respect to the ...
Jiang Pu, Qi S. Zhang
semanticscholar +1 more source
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation [PDF]
, 2015 We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random trading times.
Federico, Salvatore +2 more
core +2 more sources
A generalization of the Hopf-Cole transformation for stationary Mean Field Games systems [PDF]
, 2015 In this note we propose a transformation which decouples stationary Mean Field Games systems with superlinear Hamiltonians of the form |p|^r, and turns the Hamilton-Jacobi-Bellman equation into a quasi-linear equation involving the r-Laplace operator ...
Cirant, Marco
core +3 more sources