Results 131 to 140 of about 617 (186)

The Fractional Hamilton-Jacobi-Bellman Equation

Journal of Applied Nonlinear Dynamics, 2017
Summary: In this paper we initiate the rigorous analysis of controlled Continuous Time Random Walks (CTRWs) and their scaling limits, which paves the way to the real application of the research on CTRWs, anomalous diffusion and related processes. For the first time the convergence is proved for payoff functions of controlled scaled CTRWs and their ...
Veretennikova, M., Kolokoltsov, V.
openaire   +2 more sources

Optimal Soaring via Hamilton-Jacobi-Bellman Equations

SSRN Electronic Journal, 2014
Summary: Competition glider flying is a game of stochastic optimization, in which mathematics and quantitative strategies have historically played an important role. We address the problem of uncertain future atmospheric conditions by constructing a nonlinear Hamilton-Jacobi-Bellman equation for the optimal speed to fly, with a free boundary describing
Almgren, Robert, Tourin, Agnès
openaire   +3 more sources

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