Related papers: Solving two-point boundary value problems using ge…
This paper presents a mathematical formulation to perform temporal parallelisation of continuous-time optimal control problems, which can be solved via the Hamilton--Jacobi--Bellman (HJB) equation. We divide the time interval of the control…
We demonstrate a systematic method for solving the Hamilton-Jacobi equation for general relativity with the inclusion of matter fields. The generating functional is expanded in a series of spatial gradients. Each term is manifestly…
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We develop several numerical methods for solving the problem…
In this work, we propose a class of numerical schemes for solving semilinear Hamilton-Jacobi-Bellman-Isaacs (HJBI) boundary value problems which arise naturally from exit time problems of diffusion processes with controlled drift. We…
The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems…
This article is a continuation of a previous work where we studied infinite horizon control problems for which the dynamic, running cost and control space may be different in two half-spaces of some euclidian space $\R^N$. In this article…
We investigate the existence of solutions of reversible and irreversible port-Hamiltonian systems. To this end, we utilize the associated exergy, a function that is composed of the system's Hamiltonian and entropy, to prove global existence…
Homotopy perturbation method is used for solving the multi-point boundary value problems. The approximate solution is found in the form of a rapidly convergent series. Several numerical examples have been considered to illustrate the…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
In this paper we present a general framework that allows one to study discretization of certain dynamical systems. This generalizes earlier work on discretization of Lagrangian and Hamiltonian systems on tangent bundles and cotangent…
This paper investigates the optimal control problems for the finite-horizon continuous-time Markov decision processes with delay-dependent control policies. We develop compactification methods in decision processes, and show that the…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
The Hamilton-Jacobi formalism for fermionic systems is studied. We derive the HJ equations from the canonical transformation procedure, taking into account the second class constraints typical of these systems. It is shown that these…
The ergodic control problem for a non-degenerate controlled diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton-Jacobi-Bellman (HJB) equation. A…
Persistence modules and barcodes are used in symplectic topology to define various invariants of Hamiltonian diffeomorphisms, however numerical methods for computing these barcodes are not yet well developed. In this paper we define one…
We apply the method of flow equations to describe quantum systems subject to a time-periodic drive with a time-dependent envelope. The driven Hamiltonian is expressed in terms of its constituent Fourier harmonics with amplitudes that may…
In our previous papers [11,13] we showed that the Hamilton-Jacobi problem can be regarded as a way to describe a given dynamics on a phase space manifold in terms of a family of dynamics on a lower-dimensional manifold. We also showed how…
In this paper, we propose a method of fundamental solutions for the problem of two-dimensional potential flow in a doubly-periodic domain. The solution involves a doubly-periodic function, to which it is difficult to give an approximation…
A Lax-Oleinik type explicit formula for 1D scalar balance laws has been recently obtained for the pure initial value problem by Adimurthi et al. in [1]. In this article, by introducing a suitable boundary functional, we establish a…
We consider the specified stochastic homogenization of first order evolutive Hamilton-Jacobi equations on a very simple junction, i.e the real line with a junction at the origin. Far from the origin, we assume that the considered…