相关论文: On the Basis of the Hamilton-Jacobi-Bellman Equati…

Hamilton-Jacobi formalism as a powerful method is being utilized to reconsider warm inflationary scenario, where the scalar field as the main component deriving inflation interacts with other field. Separating the context to strong and weak…

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 paper deals with junction conditions for Hamilton-Jacobi-Bellman (HJB) equations for finite horizon control problems on multi-domains. We consider two different cases where the final cost is continuous or lower semi-continuous. In the…

The paper studies a system of first order Hamilton-Jacobi equations with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential discount and currency devaluation.…

We prove comparison principle for viscosity solutions of a Hamilton-Jacobi-Bellman equation in a strong coupling regime considering a stationary and a time-dependent version of the equation. We consider a Hamiltonian that has a…

In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…

We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…

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…

We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimizer selection, we derive a new Hamilton--Jacobi--Bellman (HJB) equation to be called…

Using Hamilton-Jacobi formalism, The scenario of warm inflation with viscous pressure is considered. The formalism gives a way of computing the slow-rolling parameters without extra approximation, and it is well-known as a powerful method…

This paper develops a comparison theorem for viscosity solutions of a new class of Hamilton-Jacobi-Bellman (HJB) equations, which is used to solve the separated problem governed by the K-S equation in the Wasserstein space. A distinctive…

We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…

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…

We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…

In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…

Optimal feedback controllers for nonlinear systems can be derived by solving the Hamilton-Jacobi-Bellman (HJB) equation. However, because the HJB is a nonlinear partial differential equation, numerical methods typically provide only…

Employing a suitable nonlinear Lagrange functional, we derive generalized Hamilton-Jacobi equations for dynamical systems subject to linear velocity constraints. As long as a solution of the generalized Hamilton-Jacobi equation exists, the…

Optimal control and the associated second-order path-dependent Hamilton-Jacobi-Bellman (PHJB) equation are studied for unbounded functional stochastic evolution systems in Hilbert spaces. The notion of viscosity solution without…

We discuss a class of debt management problems in a stochastic environment model. We propose a model for the debt-to-GDP (Gross Domestic Product) ratio where the government interventions via fiscal policies affect the public debt and the…

In this paper, an elegant mathematical approach is introduced to solve the equations of warm inflationary model without using extra approximations other than slow-roll. This important inflationary method known as Hamilton-Jacobian…