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The aim of this article is twofold. First, we develop a unified framework for viscosity solutions to both first-order Hamilton-Jacobi equations and semilinear Hamilton-Jacobi equations driven by the idiosyncratic operator, defined on the…
Reachability analysis plays a central role in system design and verification. The reachability problem, denoted $\Diamond^J\,\Phi$, asks whether the system will meet the property $\Phi$ after some time in a given time interval $J$.…
Recently, a method to dynamically define a divergence function $D$ for a given statistical manifold $(\mathcal{M}\,,g\,,T)$ by means of the Hamilton-Jacobi theory associated with a suitable Lagrangian function $\mathfrak{L}$ on…
This paper introduces a methodology based on Euclidean information theory to investigate local properties of secure communication over discrete memoryless wiretap channels. We formulate a constrained optimization problem that maximizes a…
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…
With the recent surge of interest in introducing autonomous vehicles to the everyday lives of people, developing accurate and generalizable algorithms for predicting human behavior becomes highly crucial. Moreover, many of these emerging…
Control barrier functions (CBFs) and Hamilton-Jacobi reachability (HJR) are central frameworks in safe control. Traditionally, these frameworks have been viewed as distinct, with the former focusing on optimally safe controller design and…
We study the approximation of parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the existence of a sufficiently regular barrier function for the…
The goal of this book is to present new mathematical techniques for studying the behaviour of mean-field systems with disordered interactions. We mostly focus on certain problems of statistical inference in high dimension, and on spin…
We explore the approximation of feedback control of integro-differential equations containing a fractional Laplacian term. To obtain feedback control for the state variable of this nonlocal equation we use the Hamilton--Jacobi--Bellman…
We determine the optimal robust investment strategy of an individual who targets at a given rate of consumption and seeks to minimize the probability of lifetime ruin when she does not have perfect confidence in the drift of the risky…
We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…
This paper investigates the convergence properties of the upwind difference scheme for the Hamilton--Jacobi--Bellman (HJB) equation, a central partial differential equation in optimal control theory. First, assuming the existence of a…
This paper introduces a novel methodology that leverages the Hamilton-Jacobi solution to enhance non-linear model predictive control (MPC) in scenarios affected by navigational uncertainty. Using Hamilton-Jacobi-Theoretic approach, a…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…
We study the well-posedness of Hamilton-Jacobi-Bellman equations on subsets of $\mathbb{R}^d$ in a context without boundary conditions. The Hamiltonian is given as the supremum over two parts: an internal Hamiltonian depending on an…
We study policy iteration (PI) for deterministic infinite-horizon discounted optimal control problems, whose value function is characterized by a stationary Hamilton--Jacobi--Bellman (HJB) equation. At the PDE level, PI is fundamentally…
We show that necessary and sufficient conditions of optimality in periodic optimization problems can be stated in terms of a solution of the corresponding HJB inequality, the latter being equivalent to a max-min type variational problem…
We investigate a singular perturbation for Hamilton-Jacobi equations in an open subset of two dimensional Euclidean space, where the set is determined through a Hamiltonian function and the Hamilton-Jacobi equations are the dynamic…
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…