Related papers: On the Basis of the Hamilton-Jacobi-Bellman Equati…
We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of the so-called dynamic programming principle (DPP). Using…
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…
We develop a partial Hamiltonian framework to obtain reductions and closed-form solutions via first integrals of current value Hamiltonian systems of ordinary differential equations (ODEs). The approach is algorithmic and applies to many…
The Bellman equation and its continuous form, the Hamilton-Jacobi-Bellman equation, are ubiquitous in reinforcement learning and control theory. However, these equations become intractable for high-dimensional or nonlinear systems. This…
We introduce a regulated stochastic diffusion model for the recycling rate and formulate a joint control problem over production and process innovation via the dynamics of recycling investment and product pricing. The resulting stochastic…
The minimization of a multiobjective Lagrangian with non-constant discount is studied. The problem is embedded into a set-valued framework and a corresponding definition of the value function is given. Bellman's optimality principle and…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
In this paper, we investigate a fully nonlinear evolutionary Hamilton-Jacobi-Bellman (HJB) parabolic equation utilizing the monotone operator technique. We consider the HJB equation arising from portfolio optimization selection, where the…
We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cram\'er-Lundberg model. The dividend rate is subject to a ratcheting constraint (i.e., it must be nondecreasing over time), and the…
Tachyon inflation is reconsidered by using the recent observational data obtained from Planck-2013 and BICEP2. The Hamilton-Jacobi formalism is picked out as a desirable approach in this work, which allows one to easily obtain the main…
We present a new formulation for the computation of solutions of a class of Hamilton Jacobi Bellman (HJB) equations on closed smooth surfaces of co-dimension one. For the class of equations considered in this paper, the viscosity solution…
A general method for deriving closed reduced models of Hamiltonian dynamical systems is developed using techniques from optimization and statistical estimation. As in standard projection operator methods, a set of resolved variables is…
A necessary and sufficient condition for a parameter transformation that leaves invariant the energy of a one dimensional autonomous system is obtained. Using a parameter transformation the Hamilton-Jacobi equation is solved by a…
Examples of non-standard construction of Hamiltonian structures for dynamical systems and the respective Hamilton-Jacobi (H-J) equations, without using Lagrangians, are presented. Alternative H-J equations for Euler top are explicitly…
This paper presents a new methodology to craft navigation functions for nonlinear systems with stochastic uncertainty. The method relies on the transformation of the Hamilton-Jacobi-Bellman (HJB) equation into a linear partial differential…
We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value function is the unique Crandall-Lions viscosity solution of the…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
The long-time average behavior of the value function in the calculus of variations is known to be connected to the existence of the limit of the corresponding Abel means. Still in the Tonelli case, such a limit is in turn related to the…
We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou and Zhou (J. Mach. Learn. Res., 21, 2020) in the context of…
In inflation with nonminimal derivative coupling there is not a conformal transformation to the Einstein frame where calculations are straightforward, and thus in order to extract inflationary observables one needs to perform a detailed and…