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
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Hamilton-Jacobi-Bellman Equation for Control Systems with Friction [PDF]
IEEE Transactions on Automatic Control, 2020 This article proposes a new framework for modeling control systems, in which a dynamic friction occurs. The model consists of a controlled differential inclusion with a discontinuous right-hand side, which still preserves existence and uniqueness of the ...
Fabio Tedone, Michele Palladino
semanticscholar +9 more sources
Ergodic problem for the Hamilton–Jacobi–Bellman equation. II
Annales de l'Institut Henri Poincaré C, Analyse non linéaire, 1998 We study the ergodic problem for the first-order Hamilton–Jacobi–Equations (HJBs), from the view point of controllabilities of underlying controlled deterministic systems. We shall give sufficient conditions for the ergodicity by the estimates of controllabilities.
Mariko Arisawa
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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
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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
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Hamilton–Jacobi–Bellman Equations on Multi-domains [PDF]
, 2013 A system of Hamilton Jacobi (HJ) equations on a partition of $\R^d$ is considered, and a uniqueness and existence result of viscosity solution is analyzed. While the notion of viscosity notion is by now well known, the question of uniqueness of solution, when the Hamiltonian is discontinuous, remains an important issue.
Zhiping Rao, Hasnaa Zidani
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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
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Viscosity Solutions of Stochastic Hamilton-Jacobi-Bellman Equations [PDF]
SIAM Journal on Control and Optimization, 2017 In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is introduced, and we prove that the value function of the optimal stochastic control problem is the maximal viscosity ...
Jinniao Qiu
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Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach [PDF]
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
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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
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