Results 11 to 20 of about 1,220,533 (174)
A stochastic HJB equation for optimal control of forward-backward SDEs [PDF]
, 2013 We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the It^o-Ventzell formula the system is transformed to a controlled backward stochastic partial di eren-
Øksendal, Bernt +2 more
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Constrained utility deviation-risk optimization and time-consistent HJB equation [PDF]
, 2020 In this paper we propose a unified utility deviation-risk model which covers both utilitymaximization and mean-variance analysis as special cases.
Zheng, Harry, gu, jiawen, Si, Shijing
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HJB equations and stochastic control on half-spaces of Hilbert spaces [PDF]
, 2023 In this paper, we study a first extension of the theory of mild solutions for Hamilton–Jacobi–Bellman (HJB) equations in Hilbert spaces to the case where the domain is not the whole space.
cappa gianluca +3 more
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Observer-Based Adaptive Control of Uncertain Nonlinear Systems Via Neural Networks
IEEE Access, 2018 In this paper, a novel observer-based control strategy is proposed for a class of uncertain continuous-time nonlinear systems based on the Hamilton-Jacobi-Bellman (HJB) equation.
Chaoxu Mu, Yong Zhang, Ke Wang
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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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IEEE Access, 2021 In this article, an optimized tracking control using critic-actor reinforcement learning (RL) strategy is investigated for a class of non-affine nonlinear continuous-time systems.
Xue Yang, Bin Li, Guoxing Wen
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Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function
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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Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model
Risks, 2021 In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company’s surplus process is assumed to follow a Brownian
Julia Eisenberg +2 more
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Triangle Inequality for Inverse Optimal Control
IEEE Access, 2023 Inverse optimal control (IOC) is a problem of estimating a cost function based on the behaviors of an expert that behaves optimally with respect to the cost function.
Sho Mitsuhashi, Shin Ishii
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Abstract and Applied Analysis, 2014 This paper investigates the excess-of-loss reinsurance and investment problem for a compound Poisson jump-diffusion risk process, with the risk asset price modeled by a constant elasticity of variance (CEV) model.
De-Lei Sheng, Ximin Rong, Hui Zhao
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