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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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Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control [PDF]
Entropy, 2023 Memory-limited partially observable stochastic control (ML-POSC) is the stochastic optimal control problem under incomplete information and memory limitation.
Takehiro Tottori, Tetsuya J. Kobayashi
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Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function [PDF]
International Journal of Mathematics and Mathematical Sciences, 2013 A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption. We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to ...
Md. Azizul Baten, Anton Abdulbasah Kamil
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Fractional Order Version of the HJB Equation
, 2018 We consider an extension of the well-known Hamilton-Jacobi-Bellman (HJB) equation for fractional order dynamical systems in which a generalized performance index is considered for the related optimal control problem.
AsadiZadehShiraz, Mehdi +2 more
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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 +2 more
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Exploratory HJB Equations and Their Convergence
SIAM Journal on Control and Optimization, 2022 We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou and Zhou (J. Mach. Learn. Res., 21, 2020) in the context of reinforcement learning in continuous time and space.
Wenpin Tang +2 more
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Mathematics, 2023 This paper studies the numerical algorithm of stochastic control problems in investment optimization. Investors choose the optimal investment to maximize the expected return under uncertainty.
Jiamian Lin +3 more
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Asymptotic Behavior of an Optimal Investment-Reinsurance Problem with General Utility Functions
Discrete Dynamics in Nature and Society, 2022 It is usually extremely difficult to derive an analytical solution to the Hamilton-Jacobi-Bellman (HJB) equation for some optimal control problems under general utility functions, while this paper provides a dual control method to solve the HJB equation ...
Yan Zhang, Peibiao Zhao
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IET Control Theory & Applications, 2021 Otimal tracking control of discrete‐time non‐linear systems is investigated in this paper. The system drift dynamics is unknown in this investigation. Firstly, in the light of the discrete‐time non‐linear systems and reference signal, an augmented system
Jingang Zhao, Prateek Vishal
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A fitted finite volume method for stochastic optimal control problems in finance
AIMS Mathematics, 2021 In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems in one and two dimensional domain.
Christelle Dleuna Nyoumbi +1 more
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