Results 11 to 20 of about 1,288 (181)
Dynamic Programming and Hamilton–Jacobi–Bellman Equations on Time Scales
Complexity, 2020 Bellman optimality principle for the stochastic dynamic system on time scales is derived, which includes the continuous time and discrete time as special cases.
Yingjun Zhu, Guangyan Jia
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Stats, 2021 We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method.
Sahar Albosaily +1 more
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An Integral Equation Approach to the Irreversible Investment Problem with a Finite Horizon
Mathematics, 2020 This paper studies an irreversible investment problem under a finite horizon. The firm expands its production capacity in irreversible investments by purchasing capital to increase productivity.
Junkee Jeon, Geonwoo Kim
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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
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Noether Theorem in Stochastic Optimal Control Problems via Contact Symmetries
Mathematics, 2021 We establish a generalization of the Noether theorem for stochastic optimal control problems. Exploiting the tools of jet bundles and contact geometry, we prove that from any (contact) symmetry of the Hamilton–Jacobi–Bellman equation associated with an ...
Francesco C. De Vecchi +3 more
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Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function
International Journal of Mathematics and Mathematical Sciences, 2013 A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption. We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to ...
Md. Azizul Baten, Anton Abdulbasah Kamil
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Singular stochastic control model for algae growth management in dam downstream
Journal of Biological Dynamics, 2018 A stochastic control model for finding an ecologically sound, fit-for-purpose dam operation policy to suppress bloom of attached algae in its downstream is presented. A singular exactly solvable and a more realistic regular-singular cases are analysed in
Hidekazu Yoshioka, Yuta Yaegashi
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ON CONNECTIONS BETWEEN GENERALIZED SOLUTIONS OF PDE'S OF THE FIRST ORDER
Ural Mathematical Journal, 2015 The paper is devoted to investigation of connections between generalized solutions of the Cauchy problemfor the Hamilton-Jacobi-Bellman equation and the corresponding quasilinear equation of the first order in theof case n-dimentional state ...
Ekaterina A. Kolpakova
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A direct approach to linear-quadratic stochastic control [PDF]
Opuscula Mathematica, 2017 A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic ...
Tyrone E. Duncan, Bozenna Pasik-Duncan
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Advances in Mechanical Engineering, 2019 A novel framework of rapid exponential stability and optimal feedback control is investigated and analyzed for a class of nonlinear systems through a variant of continuous Lyapunov functions and Hamilton–Jacobi–Bellman equation.
Yan Li, Yuanchun Li
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