Related papers: Distributional Hamilton-Jacobi-Bellman Equations f…
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…
We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. We construct a lower complexity…
A procedure for the numerical approximation of high-dimensional Hamilton-Jacobi-Bellman (HJB) equations associated to optimal feedback control problems for semilinear parabolic equations is proposed. Its main ingredients are a…
We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on easily implementable numerical schemes that are compatible with…
The control of relaxation-type systems of ordinary differential equations is investigated using the Hamilton-Jacobi-Bellman equation. First, we recast the model as a singularly perturbed dynamics which we embed in a family of controlled…
Distributed algorithms for both discrete-time and continuous-time linearly solvable optimal control (LSOC) problems of networked multi-agent systems (MASs) are investigated in this paper. A distributed framework is proposed to partition the…
In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems. The computational challenge is due to the nature…
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…
We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in [4], we prove a corresponding randomized dynamic programming principle (DPP) for the value function, which is…
Feedback controllers for port-Hamiltonian systems reveal an intrinsic inverse optimality property since each passivating state feedback controller is optimal with respect to some specific performance index. Due to the nonlinear…
In this paper, for a variety of nonholonomic (reducible) Hamiltonian systems, we first give to various distributional Hamiltonian systems, by analyzing carefully the dynamics and structures of the nonholonomic Hamiltonian systems. Secondly,…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
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…
The main goal of this paper is to establish existence, regularity and uniqueness results for the solution of a Hamilton-Jacobi-Bellman (HJB) equation, whose operator is an elliptic integro-differential operator. The HJB equation studied in…
In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…
A control theoretic approach is presented in this paper for both batch and instantaneous updates of weights in feed-forward neural networks. The popular Hamilton-Jacobi-Bellman (HJB) equation has been used to generate an optimal weight…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
A learning technique for finite horizon optimal control problems and its approximation based on polynomials is analyzed. It allows to circumvent, in part, the curse dimensionality which is involved when the feedback law is constructed by…
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…