Related papers: Non-convex Hamilton-Jacobi equations with gradient…
In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a partial integro-differential operator whose L\'evy measure…
We prove the optimal $W^{2,\infty}$ regularity for variational problems with convex gradient constraints. We do not assume any regularity of the constraints; so the constraints can be nonsmooth, and they need not be strictly convex. When…
We consider the optimal control of solutions of first order Hamilton-Jacobi equations, where the Hamiltonian is convex with linear growth. This models the problem of steering the propagation of a front by constructing an obstacle. We prove…
In this paper, we are concerned with the classical solvability of a class of second-order Hamilton-Jacobi-Bellman equations (HJB equations) arising from stochastic optimal control problems with linear dynamics and uniformly convex cost…
The aim of this work is to deal with a discontinuous Hamilton-Jacobi equation in the whole euclidian N-dimensional space, associated to a possibly unbounded optimal control problem. Here, the discontinuities are located on a hyperplane and…
We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…
This paper studies a maximal $L^q$-regularity property for nonlinear elliptic equations of second order with a zero-th order term and gradient nonlinearities having superlinear and sub-quadratic growth, complemented with Dirichlet boundary…
In recent years there has been intense interest in the vanishing discount problem for Hamilton-Jacobi equations. In the case of the scalar equation, B. Ziliotto has recently given an example of the Hamilton-Jacobi equation having non-convex…
We study existence, uniqueness and regularity properties of classical solutions to viscous Hamilton-Jacobi equations with Caputo time-fractional derivative. Our study relies on a combination of a gradient bound for the time-fractional…
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as…
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…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
This paper is the first attempt to systematically study properties of the effective Hamiltonian $\overline{H}$ arising in the periodic homogenization of some coercive but nonconvex Hamilton-Jacobi equations. Firstly, we introduce a new and…
We study the periodic homogenization for convex Hamilton-Jacobi equations on perforated domains under the Neumann type boundary conditions. We consider two types of conditions, the oblique derivative boundary condition and the prescribed…
Employing a suitable nonlinear Lagrange functional, we derive generalized Hamilton-Jacobi equations for dynamical systems subject to linear velocity constraints. As long as a solution of the generalized Hamilton-Jacobi equation exists, the…
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…
We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…
We study the periodic homogenization of convex Hamilton-Jacobi equations on perforated domains with Dirichlet boundary conditions. By analyzing the optimal control representation of the solutions and the properties of the metric function…
We study the partial differential equation max{Lu - f, H(Du)}=0 where u is the unknown function, L is a second-order elliptic operator, f is a given smooth function and H is a convex function. This is a model equation for…
For solving large-scale non-convex problems, we propose inexact variants of trust region and adaptive cubic regularization methods, which, to increase efficiency, incorporate various approximations. In particular, in addition to approximate…