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Stochastic HJB Equations and Regular Singular Points [PDF]

2019 IEEE 58th Conference on Decision and Control (CDC), 2018
IIn this paper we show that some HJB equations arising from both finite and infinite horizon stochastic optimal control problems have a regular singular point at the origin. This makes them amenable to solution by power series techniques.
Krener, Arthur J.
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Regularity properties for general HJB equations. A BSDE method [PDF]

, 2011
In this work we investigate regularity properties of a large class of Hamilton-Jacobi-Bellman (HJB) equations with or without obstacles, which can be stochastically interpreted in form of a stochastic control system which nonlinear cost functional is ...
Buckdahn, Rainer, Huang, Jianhui, Li, Juan   +2 more
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Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model

Mathematics, 2021
This paper is concerned with the optimal investment strategy for a defined contribution (DC) pension plan. We assumed that the financial market consists of a risk-free asset and a risky asset, where the risky asset is subject to the Ornstein–Uhlenbeck (O-
Yang Wang, Xiao Xu, Jizhou Zhang
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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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Discounted Risk-Sensitive Optimal Control of Switching Diffusions: Viscosity Solution and Numerical Approximation

Mathematics, 2023
This work considers the infinite horizon discounted risk-sensitive optimal control problem for the switching diffusions with a compact control space and controlled through the drift; thus, the the generator of the switching diffusions also depends on the
Xianggang Lu, Lin Sun
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Regular and exploratory resource extraction models considering sustainability

Results in Applied Mathematics
We formulate an optimal control problem of resource extraction, where a decision maker with sustainability concern dynamically controls the extraction rate. We assume harvesting to increase profit and incur a risk of resource depletion and aim to resolve
Hidekazu Yoshioka
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Stochastic control problems for systems driven by normal martingales

, 2008
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general insurance models ...
Buckdahn, Rainer, Ma, Jin, Rainer, Catherine   +2 more
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Optimal control in an inventory management problem considering replenishment lead time based upon a non-diffusive stochastic differential equation

Journal of Advanced Mechanical Design, Systems, and Manufacturing, 2019
An inventory management problem is theoretically discussed for a factory having effects of lead times in replenishing the inventory, where it stocks materials used for its products.
Hiroaki T.-KANEKIYO, Shinjiro AGATA
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Mitigating the Curse of Dimensionality: Sparse Grid Characteristics Method for Optimal Feedback Control and HJB Equations [PDF]

, 2016
We address finding the semi-global solutions to optimal feedback control and the Hamilton--Jacobi--Bellman (HJB) equation. Using the solution of an HJB equation, a feedback optimal control law can be implemented in real-time with minimum computational ...
Kang, Wei, Wilcox, Lucas C.
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Image Restoration via the Integration of Optimal Control Techniques and the Hamilton–Jacobi–Bellman Equation

Mathematics
In this paper, we propose a novel image restoration framework that integrates optimal control techniques with the Hamilton–Jacobi–Bellman (HJB) equation.
Dragos-Patru Covei
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