Related papers: Fractional Order Version of the HJB Equation
The aim of this work is to present the regularity condition (also known in the literature as structure condition) an integro-differential operator may satisfy in order for the domination principle to hold for (sub-,super-) solutions of…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
We exploit the separation of the filtering and control aspects of quantum feedback control to consider the optimal control as a classical stochastic problem on the space of quantum states. We derive the corresponding Hamilton-Jacobi-Bellman…
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
This work proposes an optimal safe controller minimizing an infinite horizon cost functional subject to control barrier functions (CBFs) safety conditions. The constrained optimal control problem is reformulated as a minimization problem of…
In this paper, we discuss a new general formulation of fractional optimal control problems whose performance index is in the fractional integral form and the dynamics are given by a set of fractional differential equations in the Caputo…
In this paper we consider a generalized classical mechanics with fractional derivatives. The generalization is based on the time-clock randomization of momenta and coordinates taken from the conventional phase space. The fractional…
In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…
This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general…
Building upon the dynamic programming principle for set-valued functions arising from many applications, in this paper we propose a new notion of set-valued PDEs. The key component in the theory is a set-valued It\^{o} formula,…
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
Many physical, biological, and engineered systems exhibit memory effects that challenge Markovian models. Fractional calculus provides nonlocal operators to capture hereditary dynamics. This survey connects modeling, analysis, and…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
Optimal feedback controllers for nonlinear systems can be derived by solving the Hamilton-Jacobi-Bellman (HJB) equation. However, because the HJB is a nonlinear partial differential equation, numerical methods typically provide only…
In this paper infinite horizon optimal control problems for nonlinear high-dimensional dynamical systems are studied. Nonlinear feedback laws can be computed via the value function characterized as the unique viscosity solution to the…
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of direct equilibrium analysis, we propose a vanishing…
The nonholonomic constrained system with second-class constraints is investigated using the Hamilton-Jacobi (HJ) quantization scheme to yield the complete equations of motion of the system. Although the integrability conditions in the HJ…
We consider the problem of time-optimal path planning for simple nonholonomic vehicles. In previous similar work, the vehicle has been simplified to a point mass and the obstacles have been stationary. Our formulation accounts for a…
In this paper, the theory of the fractional singular Lagrangian systems is investigated with second order derivatives. The fractional quantization for these systems is examined using the WKB approximation. The Hamilton Jacobi treatment can…