Related papers: Infinite horizon value functions in the Wasserstei…
This paper introduces a notion of viscosity solutions for second order elliptic Hamilton-Jacobi-Bellman (HJB) equations with infinite delay associated with infinite-horizon optimal control problems for stochastic differential equations with…
This paper focuses on the value function in the time-optimal problem for a continuity equation in the space of probability measures. We derive the dynamic programming principle for this problem. In particular, we prove that the Kruzhkov…
We examine the infinite-dimensional optimization problem of finding a decomposition of a probability measure into K probability sub-measures to minimize specific loss functions inspired by applications in clustering and user grouping. We…
We consider Hamilton--Jacobi equations, where the Hamiltonian depends discontinuously on both the spatial and temporal location. Our main results are the existence and well--posedness of a viscosity solution to the Cauchy problem. We define…
We provide upper bounds of the expected Wasserstein distance between a probability measure and its empirical version, generalizing recent results for finite dimensional Euclidean spaces and bounded functional spaces. Such a generalization…
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…
We propose a new numerical method for solving the Hamilton-Jacobi-Bellman quasi-variational inequality associated with the combined impulse and stochastic optimal control problem over a finite time horizon. Our method corresponds to an…
In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently, we derive the associated Hamilton-Jacobi-Bellman (HJB)…
The paper studies coincidence points of parameterized set-valued mappings (multifunctions), which provide an extended framework to cover several important topics in variational analysis and optimization that include the existence of…
We show that non-dominated sorting of a sequence of i.i.d. random variables in Euclidean space has a continuum limit that corresponds to solving a Hamilton-Jacobi equation involving the probability density function of the random variables.…
In this article, we establish necessary and sufficient viability conditions for continuity inclusions over the 1-Wasserstein space. Depending on the regularity properties of the dynamics, we derive two results which are based on fairly…
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (HJB) equations associated with optimal control problems for path-dependent differential equations. We identify the value…
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
We study the optimal control of path-dependent piecewise deterministic processes. An appropriate dynamic programming principle is established. We prove that the associated value function is the unique minimax solution of the corresponding…
We establish multi-scale convergence theory for a class of Hamilton-Jacobi PDEs in space of probability measures. They arise from context of hydrodynamic limit of N-particle deterministic action minimizing (global) Lagrangian dynamics. From…
We investigate a dynamic inverse problem using a regularization which implements the so-called Wasserstein-$1$ distance. It naturally extends well-known static problems such as lasso or total variation regularized problems to a (temporally)…
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition under which the limit of the solutions to…
We consider a path-dependent Hamilton--Jacobi equation with coinvariant derivatives over the space of continuous functions. We prove two uniqueness results for viscosity (generalized) solutions defined in terms of coinvariantly smooth test…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…
We propose two algorithms for solving global optimization problems on a hyperrectangle with an objective function satisfying the Vanderbei condition (this function is also called an $\varepsilon$-Lipschitz continuous function). The…