相关论文: A Class of Delay Optimal Control Problems and Visc…

This paper introduces a notion of viscosity solutions for second order elliptic Hamilton-Jacobi-Bellman (HJB) equations with infinite delay associated with infinite-horizon optimal control problems for stochastic differential equations with…

We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…

This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…

Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…

Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…

In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (HJB) equations associated with optimal control problems for path-dependent differential equations. We identify the value…

In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…

In this article, the notion of viscosity solution is introduced for the path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with the optimal control problems for path-dependent stochastic differential equations. We identify…

In this article, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent stochastic differential equations. We…

We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…

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…

The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…

The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable viscosity solution approach is needed in view of the…

A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

In this article, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent stochastic evolution equations in Hilbert…

In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent evolution equations in Hilbert space. We…

The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…

In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…

In this note, we demonstrate that a locally semiconvex viscosity supersolution to a possibly degenerate fully nonlinear elliptic Hamilton-Jacobi-Bellman (HJB) equation is differentiable along the directions spanned by the range of the…