Dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equation [PDF]
Fundamental ResearchIn 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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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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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
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MEAN VARIANCE PORTFOLIO SELECTION PROBLEM WITH MULTISCALE STOCHASTIC VOLATILITY
Prospectiva, 2022 This paper discussed the mean-variance portfolio selection problem with multiscale stochastic volatility. We considered two type of volatility, including a fast –moving one and a slowly-moving one by using the stochastic dynamic programming principle ...
Carlos Granados
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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
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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
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The large time profile for Hamilton–Jacobi–Bellman equations [PDF]
Mathematische Annalen, 2021 Here, we study the large-time limit of viscosity solutions of the Cauchy problem for second-order Hamilton--Jacobi--Bellman equations with convex Hamiltonians in the torus. This large-time limit solves the corresponding stationary problem, sometimes called the ergodic problem.
Gomes, Diogo A. +2 more
openaire +4 more sources
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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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
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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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