Related papers: Non-convex Hamilton-Jacobi equations with gradient…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable viscosity solution approach is needed in view of the…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
Maximum entropy reinforcement learning (RL) methods have been successfully applied to a range of challenging sequential decision-making and control tasks. However, most of existing techniques are designed for discrete-time systems. As a…
Viscosity solutions of fully nonlinear, local or non local, Hamilton-Jacobi equations with a super-quadratic growth in the gradient variable are proved to be H\"older continuous, with a modulus depending only on the growth of the…
We discuss a class of time-dependent Hamilton-Jacobi equations, where an unknown function of time is intended to keep the maximum of the solution to the constant value 0. Our main result is that the full problem has a unique viscosity…
This paper studies Hamilton-Jacobi equations of evolution type defined in a general metric space. We give a notion of a solution through optimal principles and establish a unique existence theorem of the solution for initial value problems.…
We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely…
The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
Highly concentrated patterns have been observed in a spatially heterogeneous, nonlocal, model of BGK type implementing a velocity-jump process. We study both a linear and a nonlinear case and describe the concentration profile. In…
In this paper, training a neural network is identified, exactly, as a search through Hamilton--Jacobi initial-value problems: each gradient step selects the initial data of a viscous Hamilton--Jacobi equation whose Hopf--Cole propagator…
We study semi Lagrangian approximation schemes for Hamilton Jacobi Bellman equations arising from finite horizon optimal control problems. Classical error estimates for these schemes include the term $\frac{1}{\Delta t}$ which leads to…
We present stochastic homogenization results for viscous Hamilton-Jacobi equations using a new argument which is based only on the subadditive structure of maximal subsolutions (solutions of the "metric problem"). This permits us to give…
We prove the homogenization of a class of one-dimensional viscous Hamilton-Jacobi equations with random Hamiltonians that are nonconvex in the gradient variable. Due to the special form of the Hamiltonians, the solutions of these PDEs with…
We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is…
Motivated by the vanishing contact problem, we study in the present paper the convergence of solutions of Hamilton-Jacobi equations depending nonlinearly on the unknown function. Let $H(x,p,u)$ be a continuous Hamiltonian which is strictly…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
In this paper, we introduce a framework for the discretization of a class of constrained Hamilton-Jacobi equations, a system coupling a Hamilton-Jacobi equation with a Lagrange multiplier determined by the constraint. The equation is…
Nondominated sorting is a discrete process that sorts points in Euclidean space according to the coordinatewise partial order, and is used to rank feasible solutions to multiobjective optimization problems. It was previously shown that…