Related papers: Quantum algorithms for viscosity solutions to nonl…
Finding better solutions to combinatorial optimization problems could have a large positive impact on many real-world application areas, such as logistics. For this reason, significant efforts have been made to design novel optimisation…
We propose notions of minimax and viscosity solutions for a class of fully nonlinear path-dependent PDEs with nonlinear, monotone, and coercive operators on Hilbert space. Our main result is well-posedness (existence, uniqueness, and…
We give a new perspective on the existence of viscosity solutions for a stationary and a time-dependent first-order Hamilton-Jacobi equation. Following recent comparison principles, we work in a framework in which we consider a subsolution…
While quantum computing provides an exponential advantage in solving linear differential equations, there are relatively few quantum algorithms for solving nonlinear differential equations. In our work, based on the homotopy perturbation…
We prove homogenization for a class of viscous Hamilton-Jacobi equations in the stationary and ergodic setting in one space dimension. Our assumptions include most notably the following: the Hamiltonian is of the form $G(p) + \beta…
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of direct equilibrium analysis, we propose a vanishing…
Using the Hamilton-Jacobi method, we solve chemical Fokker-Planck equations within the Gaussian approximation and obtain a simple and compact formula for a conditional probability distribution. The formula holds in general transient…
The Hamiltonian treatment of constrained systems in $G\ddot{u}ler's$ formalism leads us to the total differential equations in many variables. These equations are integrable if the corresponding system of partial differential equations is a…
This paper is devoted to solving a class of second order Hamilton-Jacobi-Bellman (HJB) equations in the Wasserstein space, associated with mean field control problems involving common noise. The well-posedness of viscosity solutions to the…
This paper is the first attempt to systematically study properties of the effective Hamiltonian $\overline{H}$ arising in the periodic homogenization of some coercive but nonconvex Hamilton-Jacobi equations. Firstly, we introduce a new and…
We establish homogenization for nondegenerate viscous Hamilton-Jacobi equations in one space dimension when the diffusion coefficient $a(x,\omega) > 0$ and the Hamiltonian $H(p,x,\omega)$ are general stationary ergodic processes in $x$. Our…
This paper proposes penalty schemes for a class of weakly coupled systems of Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) arising from stochastic hybrid control problems of regime-switching models with both continuous…
We establish multi-scale convergence theory for a class of Hamilton-Jacobi PDEs in space of probability measures. They arise from context of hydrodynamic limit of N-particle deterministic action minimizing (global) Lagrangian dynamics. From…
We propose a distinct approach to solving linear and nonlinear differential equations (DEs) on quantum computers by encoding the problem into ground states of effective Hamiltonian operators. Our algorithm relies on constructing such…
This paper investigates a Hamilton-Jacobi (HJ) analysis to solve finite-horizon optimal control problems for high-dimensional systems. Although grid-based methods, such as the level-set method [1], numerically solve a general class of HJ…
It is well known that when the nonlinearity is convex, the Hamilton-Jacobi PDE admits a unique semi-convex weak solution, which is the viscosity solution. In this paper, motivated by problems arising from spin glasses, we show that if the…
We consider a numerical scheme for Hamilton-Jacobi equations based on a direct discretization of the Lax-Oleinik semi-group. We prove that this method is convergent with respect to the time and space stepsizes provided the solution is…
This paper introduces a class of continuous-time, finite-player stochastic general-sum differential games that admit solutions through an exact linear PDE system. We formulate a distribution planning game utilizing the cross-log-likelihood…
We prove the comparison principle for viscosity sub and super solutions of degenerate nonlocal operators with general nonlocal gradient nonlinearities. The proofs apply to purely Hamilton-Jacobi equations of order $0<s<1$.
Stochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton-Jacobi-Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical algorithms are the…