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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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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Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations [PDF]
SIAM Journal on Control and Optimization, 2018 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
exaly +4 more sources
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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Hamilton–Jacobi–Bellman Equation for Control Systems With Friction [PDF]
IEEE Transactions on Automatic Control, 2021 This paper proposes a new framework to model 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 solution for each given input function u(t).
Fabio Tedone, Michele Palladino
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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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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
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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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