Related papers: Viscosity Solutions to Second Order Path-Dependent…
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)…
This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…
In the paper, we consider a path-dependent Hamilton-Jacobi equation with coinvariant derivatives over the space of continuous functions. Such equations arise from optimal control problems and differential games for time-delay systems. We…
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…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, comparaison and stability results are established under fairly…
The aim of this article is twofold. First, we develop a unified framework for viscosity solutions to both first-order Hamilton-Jacobi equations and semilinear Hamilton-Jacobi equations driven by the idiosyncratic operator, defined on the…
This paper investigates the convergence properties of the upwind difference scheme for the Hamilton--Jacobi--Bellman (HJB) equation, a central partial differential equation in optimal control theory. First, assuming the existence of a…
We present comparison principles, Lipschitz estimates and study state constraints problems for degenerate, second-order Hamilton-Jacobi equations.
We prove comparison principle for viscosity solutions of a Hamilton-Jacobi-Bellman equation in a strong coupling regime considering a stationary and a time-dependent version of the equation. We consider a Hamiltonian that has a…
A stochastic optimal control problem driven by an abstract evolution equation in a separable Hilbert space is considered. Thanks to the identification of the mild solution of the state equation as $\nu$-weak Dirichlet process, the value…
The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems…
We consider viscosity solutions of Hamilton-Jacobi equations with oscillatory spatial dependence and rough time dependence. The time dependence is in the form of the derivative of a continuous path that converges to a possibly…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
We introduce the notion of mean viability for controlled stochastic differential equations and establish counterparts of Nagumo's classical viability theorems (necessary and sufficient conditions for mean viability). As an application, we…
We study an optimal stopping problem when the state process is governed by a general Feller process. In particular, we examine viscosity properties of the associated value function with no a priori assumption on the stochastic differential…
Stochastic optimal control problems for Hamiltonian dynamics on graphs have wide-ranging applications in mechanics and quantum field theory, particularly in systems with graph-based structures. In this paper, we establish the existence and…
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…
The goal of this paper is to prove a comparison principle for viscosity solutions of semilinear Hamilton-Jacobi equations in the space of probability measures. The method involves leveraging differentiability properties of the…