Dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equation [PDF]
Fundamental Research, 2023 In this paper, we investigate a backward doubly stochastic recursive optimal control problem wherein the cost function is expressed as the solution to a backward doubly stochastic differential equation.
Yunhong Li +3 more
doaj +3 more sources
On the Hamilton-Jacobi-Bellman Equation by the Homotopy Perturbation Method [PDF]
Abstract and Applied Analysis, 2014 Our concern in this paper is to use the homotopy decomposition method to solve the Hamilton-Jacobi-Bellman equation (HJB). The approach is obviously extremely well organized and is an influential procedure in obtaining the solutions of the equations.
Abdon Atangana +2 more
doaj +2 more sources
Some non monotone schemes for Hamilton-Jacobi-Bellman equations [PDF]
ESAIM: Proceedings and Surveys, 2019 We extend the theory of Barles Jakobsen [3] for a class of almost monotone schemes to solve stationary Hamilton Jacobi Bellman equations. We show that the monotonicity of the schemes can be relaxed still leading to the convergence to the viscosity ...
Warin Xavier
doaj +2 more sources
Entropic Dynamics in Neural Networks, the Renormalization Group and the Hamilton-Jacobi-Bellman Equation [PDF]
Entropy, 2020 We study the dynamics of information processing in the continuum depth limit of deep feed-forward Neural Networks (NN) and find that it can be described in language similar to the Renormalization Group (RG).
Nestor Caticha
doaj +2 more sources
Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint [PDF]
Journal of Function Spaces, 2019 This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg ...
Yuzhen Wen, Chuancun Yin
doaj +2 more sources
MathematicsIn this paper, we propose a novel image restoration framework that integrates optimal control techniques with the Hamilton–Jacobi–Bellman (HJB) equation.
Dragos-Patru Covei
doaj +2 more sources
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
Optimal Feedback Control of Cancer Chemotherapy Using Hamilton–Jacobi–Bellman Equation
Complexity, 2022 Cancer chemotherapy has been the most common cancer treatment. However, it has side effects that kill both tumor cells and immune cells, which can ravage the patient’s immune system. Chemotherapy should be administered depending on the patient’s immunity
Yong Dam Jeong +5 more
doaj +1 more source
SICE Journal of Control, Measurement, and System Integration, 2020 This paper presents a numerical approach to solve the Hamilton-Jacobi-Bellman (HJB) equation, which arises in nonlinear optimal control. In this approach, we first use the successive approximation to reduce the HJB equation, a nonlinear partial ...
Ichiro Maruta +2 more
doaj +1 more source
Collision Avoidance Problem of Ellipsoid Motion
Mathematics, 2022 This paper studies the problem of target control and how a virtual ellipsoid can avoid the static obstacle. During the motion to the target set, the virtual ellipsoid can achieve a motion under collision avoidance by keeping the distance between the ...
Shujun Guo +9 more
doaj +1 more source