Related papers: On viscosity solution of HJB equations with state …
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…
This paper presents a two-stage framework for constrained near-optimal feedback control of input-affine nonlinear systems. An approximate value function for the unconstrained control problem is computed offline by solving the…
We address the crucial yet underexplored stability properties of the Hamilton--Jacobi--Bellman (HJB) equation in model-free reinforcement learning contexts, specifically for Lipschitz continuous optimal control problems. We bridge the gap…
In this paper, we adapt stochastic Perron's method to analyze a stochastic target problem with unbounded controls in a jump diffusion set-up. With this method, we construct a viscosity sub-solution and super-solution to the associated…
We show that value functions of a certain time-dependent control problem in $\Omega\times (0,T)$, with a continuous payoff $F$ on the parabolic boundary, converge uniformly to the viscosity solution of the parabolic dominative $p$-Laplace…
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…
The control of relaxation-type systems of ordinary differential equations is investigated using the Hamilton-Jacobi-Bellman equation. First, we recast the model as a singularly perturbed dynamics which we embed in a family of controlled…
In this paper we study a first extension of the theory of mild solutions for HJB equations in Hilbert spaces to the case when the domain is not the whole space. More precisely, we consider a half-space as domain, and a semilinear…
The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…
This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…
We investigate the large-time behavior of the value functions of the optimal control problems on the $n$-dimensional torus which appear in the dynamic programming for the system whose states are governed by random changes. From the point of…
This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system. To establish the existence of these processes, we show that they are…
We investigate an optimal control problem motivated by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an unknown parameter. Given a prior distribution for the unknown parameter, we…
Inspired by the penalization of the domain approach of Lions & Sznitman, we give a sense to Neumann and oblique derivatives boundary value problems for nonlocal, possibly degenerate elliptic equations. Two different cases are considered:…
We perform a systematic study of optimization problems in the Wasserstein spaces that are analogs of infinite horizon, deterministic control problems. We derive necessary conditions on action minimizing paths and present a sufficient…
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.…
We consider continuous-state and continuous-time control problems where the admissible trajectories of the system are constrained to remain on a union of half-planes which share a common straight line. This set will be named a junction. We…
The present paper first aims to study the BV-type regularity for viscosity solutions of the Hamilton-Jacobi equation \[ u_t(t,x)+H\big(D_{x} u(t,x)\big)~=~0\qquad\forall (t,x)\in ]0,\infty[\times\mathbb{R}^d \] with a coercive and uniformly…
Motivated by applications in queueing theory, we consider a stochastic control problem whose state space is the $d$-dimensional positive orthant. The controlled process $Z$ evolves as a reflected Brownian motion whose covariance matrix is…
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…