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We introduce a Monte Carlo scheme for fully nonlinear parabolic nonlocal PDE's whose nonlinearity in of Hamilton-Jacobi-Bellman-Isaacs (HJBI for short). We avoid the difficulties of infinite L\'evy measure by truncation of the L\'evy…
We obtain non-symmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton Jacobi Bellman Equations by introducing a new notion of consistency. We apply our general…
Hamilton-Jacobi partial differential equations (HJ PDEs) play a central role in many applications such as economics, physics, and engineering. These equations describe the evolution of a value function which encodes valuable information…
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…
The paper deals with a class of time-inconsistent control problems for McKean-Vlasov dynamics. By solving a backward time-inconsistent Hamilton-Jacobi-Bellman (HJB for short) equation coupled with a forward distribution-dependent stochastic…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…
This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…
We consider an extension of the well-known Hamilton-Jacobi-Bellman (HJB) equation for fractional order dynamical systems in which a generalized performance index is considered for the related optimal control problem. Owing to the…
Here, we study Hamilton-Jacobi-Bellman equations on graphs. These are meant to be the analog of any of the following types of equations in the continuum setting of partial differential and nonlocal integro-differential equations:…
The algebraic-geometric approach is extended to study solutions of N-component systems associated with the energy dependent Schrodinger operators having potentials with poles in the spectral parameter, in connection with Hamiltonian flows…
We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows…
A non-linear Black-Scholes-type equation is studied within counterparty risk models. The classical hypothesis on the uniform Lipschitz-continuity of the non-linear reaction function allows for an equivalent transformation of the semi-linear…
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a non-homogeneous terminal value problem and we show that the…
The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution in suitable Sobolev spaces and propose a numerical…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a…
In this note, we demonstrate that a locally semiconvex viscosity supersolution to a possibly degenerate fully nonlinear elliptic Hamilton-Jacobi-Bellman (HJB) equation is differentiable along the directions spanned by the range of the…
From the Hamilton-Jacobi-Bellman equation for the value function we derive a non-linear partial differential equation for the optimal portfolio strategy (the dynamic control). The equation is general in the sense that it does not depend on…
We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. In previous works (Akian, Fodjo, 2016 and…