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This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…
In this paper we provide a rate of convergence for periodic homogenization of Hamilton-Jacobi-Bellman equations with nonlocal diffusion. The result is based on the regularity of the associated effective problem, where the convexity plays a…
We propose a new approach to the numerical solution of ergodic problems arising in the homogenization of Hamilton-Jacobi (HJ) equations. It is based on a Newton-like method for solving inconsistent systems of nonlinear equations, coming…
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…
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 present two new sharp regularity results (regularizing effect and propagation of regularity) for viscosity solutions of uniformly convex space homogeneous Hamilton-Jacobi equations. In turn, these estimates yield new intermittent…
A previous knowledge of the domains of dependence of an Hamilton Jacobi equation can be useful in its study and approximation. Information of this nature are, in general, difficult to obtain directly from the data of the problem. In this…
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 show strong uniform convergence of monotone P1 finite element methods to the viscosity solution of isotropic parabolic Hamilton-Jacobi-Bellman equations with mixed boundary conditions on unstructured meshes and for possibly degenerate…
A numerical method for variable coefficient elliptic problems on two dimensional domains is described. The method is based on high-order spectral approximations and is designed for problems with smooth solutions. The resulting system of…
We consider the well-posedness and numerical approximation of a Hamilton--Jacobi equation on an evolving hypersurface in $\mathbb R^3$. Definitions of viscosity sub- and supersolutions are extended in a natural way to evolving hypersurfaces…
We investigate in this work a fully-discrete semi-Lagrangian approximation of second order possibly degenerate Hamilton-Jacobi-Bellman (HJB) equations on a bounded domain with oblique boundary conditions. These equations appear naturally in…
We show that if a Hamilton-Jacobi equation admits a differentiable solution whose gradient is Lipschitz, then this solution is the unique semi-concave weak solution. Our result does not rely on any convexity (nor concavity) assumptions on…
We show that any classical solution of the diffusive Hamilton-Jacobi (DHJ) equation $-\Delta u= |\nabla u|^p$ in a half-space with zero boundary conditions for $1<p\le 2$ is necessarily one-dimensional. This improves the previously known…
We present a partial-differential-equation-based optimal path-planning framework for curvature constrained motion, with application to vehicles in 2- and 3-spatial-dimensions. This formulation relies on optimal control theory, dynamic…
In quantitative genetics, viscosity solutions of Hamilton-Jacobi equations appear naturally in the asymptotic limit of selection-mutation models when the population variance vanishes. They have to be solved together with an unknown function…
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…
This work proposes and studies numerical schemes for initial value problems of Hamilton--Jacobi equations (HJEs) with a graph individual noise on the Wasserstein space on graphs. Numerically solving such equations is particularly…
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.…
A new algorithm for time dependent Hamilton Jacobi equations on networks, based on semi Lagrangian scheme, is proposed. It is based on the definition of viscosity solution for this kind of problems recently given in. A thorough convergence…