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.
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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
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Hamilton–Jacobi–Bellman Equations

2017
In this chapter we present recent developments in the theory of Hamilton–Jacobi–Bellman (HJB) equations as well as applications. The intention of this chapter is to exhibit novel methods and techniques introduced few years ago in order to solve long-standing questions in nonlinear optimal control theory of Ordinary Differential Equations (ODEs).
Festa, Adriano +6 more
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fos: mathematics
optimal control
optimal stochastic control

mathematics
510
optimization and control math.oc

viscosity solutions
hamilton-jacobi equations
mathematics - optimization and control