Related papers: The stochastic value function on metric measure sp…
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second…
In this work we introduce a theory of stochastic integration for operator-valued integrands with respect to some classes of cylindrical martingale-valued measures in Hilbert spaces. The integral is constructed via the radonification of…
We prove homogenization for viscous Hamilton-Jacobi equations with a Hamiltonian of the form $G(p)+V(x,\omega)$ for a wide class of stationary ergodic random media in one space dimension. The momentum part $G(p)$ of the Hamiltonian is a…
We study the stochastic control-stopping problem when the data are of polynomial growth. The approach is based on backward stochastic dierential equations (BSDEs for short). The problem turns into the study of a specic reected BSDE with a…
In this paper, we give a complete classification of critical metrics of the volume functional on a compact manifold $M$ with boundary $\partial M$ having positive isotropic curvature. We prove that for a pair $(f, \kappa)$ of a nontrivial…
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 devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity…
Let $(M,\mathsf{d},\mathfrak{m},\ll,\leq,\tau)$ be a causally closed, $\mathscr{K}$-globally hyperbolic, regular measured Lorentzian geodesic space satisfying the weak timelike curvature-dimension condition $\smash{\mathrm{wTCD}_p^e(K,N)}$…
In this paper, we study the regularity of the ergodic constants for the viscous Hamilton--Jacobi equations. We also estimate the convergent rate of the ergodic constant in the vanishing viscosity process.
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the…
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…
It is well-known that a random variable, i.e., a function defined on a probability space, with values in a Borel space, can be represented on the special probability space consisting of the unit interval with Lebesgue measure. We show an…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
All equivalence classes for electromagnetic potentials and space-time metrics of Stackel spaces, provided that Hamilton-Jacobi equation and Klein-Gordon-Fock equation for a charged test particle can be integrated by the method of complete…
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…
Let H be a Hilbert space and E a Banach space. We set up a theory of stochastic integration of L(H,E)-valued functions with respect to H-cylindrical Liouville fractional Brownian motions (fBm) with arbitrary Hurst parameter in the interval…
Stochastic Einstein equations are considered when 3D space metric $\gamma_{ij}$ are stochastic functions. The probability density for the stochastic quantities is connected with the Perelman's entropy functional. As an example, the Friedman…
The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a…
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
Within the framework of probability distributions on projective Hilbert space a scheme for the calculation of multitime correlation functions is developed. The starting point is the Markovian stochastic wave function description of an open…