Results 181 to 190 of about 14,906 (246)

Generalized Risk-Sensitive Optimal Control and Hamilton–Jacobi–Bellman Equation

IEEE Transactions on Automatic Control, 2021
In this article, we consider the generalized risk-sensitive optimal control problem, where the objective functional is defined by the controlled backward stochastic differential equation (BSDE) with quadratic growth coefficient.
Jun Moon
semanticscholar   +1 more source

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

Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton--Jacobi--Bellman Equation

SIAM Journal of Control and Optimization, 2007
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraint for the cost functional described by the solution of a reflected backward stochastic differential equation.
Zhen Wu, Zhiyong Yu
semanticscholar   +1 more source

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