Related papers: Sensitivity analysis for HJB equations with an app…
This paper is devoted to solving a class of second order Hamilton-Jacobi-Bellman (HJB) equations in the Wasserstein space, associated with mean field control problems involving common noise. The well-posedness of viscosity solutions to the…
This work is devoted to the analysis of the backward problem for a viscous Hamilton-Jacobi equation with degenerate diffusion and a general Hamiltonian that is not necessarily quadratic. First, we focus on linear degenerate parabolic…
In this paper we study the convergence of monotone $P1$ finite element methods for fully nonlinear Hamilton-Jacobi-Bellman equations with degenerate, isotropic diffusions. The main result is strong convergence of the numerical solutions in…
We prove differentiability of the effective Lagrangian for continuous time multidimensional directed variational problems in random dynamic environments with positive dependence range in time. This implies that limiting fundamental…
A detailed Hamilton-Jacobi analysis for linearized $\lambda R$ gravity is developed. The model is constructed by rewriting linearized gravity in terms of a parameter $\lambda$ and new variables. The set of all hamiltonians is identified…
This paper is devoted to path-dependent kinetics equations arising, in particular, from the analysis of the coupled backward - forward systems of equations of mean field games. We present local well-posedness, global existence and some…
We propose a conforming finite element method to approximate the strong solution of the second order Hamilton-Jacobi-Bellman equation with Dirichlet boundary and coefficients satisfying Cordes condition. We show the convergence of the…
We study a multi-objective variational problem of Herglotz' type with cooperative linear coupling. We established the associated Euler-Lagrange equations and the characteristic system for cooperative weakly coupled systems of…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
This paper is concerned with the stochastic Hamilton-Jacobi-Bellman equation with controlled leading coefficients, which is a type of fully nonlinear backward stochastic partial differential equation (BSPDE for short). In order to formulate…
In this paper we investigate maximal $L^q$-regularity for time-dependent viscous Hamilton-Jacobi equations with unbounded right-hand side and superlinear growth in the gradient. Our approach is based on the interplay between new integral…
We prove precise rates of convergence for monotone approximation schemes of fractional and nonlocal Hamilton-Jacobi-Bellman (HJB) equations. We consider diffusion corrected difference-quadrature schemes from the literature and new…
We establish the existence and uniqueness of weak and renormalized solutions to a degenerate, hypoelliptic Mean Field Games system with local coupling. An important step is to obtain $L^{\infty}-$bounds for solutions to a degenerate…
We prove homogenization properties of random Hamilton-Jacobi-Bellman (HJB) equations on continuum percolation clusters, almost surely w.r.t. the law of the environment when the origin belongs to the unbounded component in the continuum.…
Hybrid dynamical systems with nonlinear dynamics are one of the most general modeling tools for representing robotic systems, especially contact-rich systems. However, providing guarantees regarding the safety or performance of nonlinear…
In this paper, we construct Hamilton-Jacobi equations for a great variety of mechanical systems (nonholonomic systems subjected to linear or affine constraints, dissipative systems subjected to external forces, time-dependent mechanical…
In this paper, a class of high order numerical schemes is proposed for solving Hamilton-Jacobi (H-J) equations. This work is regarded as an extension of our previous work for nonlinear degenerate parabolic equations, see Christlieb et al.…
In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a partial integro-differential operator whose L\'evy measure…
Designing optimal controllers for nonlinear dynamical systems often relies on reinforcement learning and adaptive dynamic programming (ADP) to approximate solutions of the Hamilton Jacobi Bellman (HJB) equation. However, these methods…
In this paper, constrained Hamiltonian systems with linear velocities are investigated by using the Hamilton-Jacobi method. We shall consider the integrablity conditions on the equations of motion and the action function as well in order to…