Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method (Q5081640): Difference between revisions

Latest revision as of 09:38, 30 July 2024

scientific article; zbMATH DE number 7543536

Language	Label	Description	Also known as
English	Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method	scientific article; zbMATH DE number 7543536

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instance of

scholarly article

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title

Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method (English)

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SIAM Journal on Control and Optimization

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publication date

17 June 2022

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full work available at URL

https://arxiv.org/abs/2102.00038

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zbMATH Keywords

large deviations

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vanishing viscosity method

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path-dependent partial differential equations

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minimax solutions

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dini solutions

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calculus of variations

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optimal control

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state constraints

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backward stochastic differential equations

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nonsmooth analysis

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MaRDI profile type

MaRDI publication profile

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cites work

History path dependent optimal control and portfolio valuation and management

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Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control

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Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

0 references

Path-dependent Hamilton-Jacobi equations in infinite dimensions

0 references

Solutions to the Hamilton-Jacobi equation for Bolza problems with discontinuous time dependent data

0 references

Solutions to the Hamilton-Jacobi Equation for Bolza Problems with State Constraints and Discontinuous Time Dependent Data

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The Hamilton Jacobi Equation For Optimal Control Problems with Discontinuous Time Dependence

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Q4871542

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The Minimum Time Function for Semilinear Evolutions

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Q4743352

0 references

Path-dependent equations and viscosity solutions in infinite dimension

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Strong-viscosity solutions: classical and path-dependent PDEs

0 references

Value functions for Bolza problems with discontinuous Lagrangians and Hamilton-Jacobi inequalities

0 references

Q3202747

0 references

Minimal supersolutions of convex BSDEs

0 references

Dual representation of minimal supersolutions of convex BSDEs

0 references

Stability and Markov property of forward backward minimal supersolutions

0 references

Functional Itô calculus

0 references

Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs

0 references

On viscosity solutions of path dependent PDEs

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs

0 references

Optimal trajectories associated with a solution of the contingent Hamilton-Jacobi equation

0 references

Path-dependent Hamilton-Jacobi equations: the minimax solutions revised

0 references

A Probabilistic Approach to the Generalized Hessian

0 references

Generalized Solutions of the Hamilton–Jacobi Equation of Stochastic Control

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On the Existence of Optimal Controls

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Q2774021

0 references

Viscosity solutions of path-dependent integro-differential equations

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0 references

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Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation

0 references

The value function representing Hamilton–Jacobi equation with Hamiltonian depending on value of solution

0 references

Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation

0 references

On representation formulas for Hamilton Jacobi's equations related to calculus of variations problems

0 references

Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations

0 references

Perron’s method for viscosity solutions of semilinear path dependent PDEs

0 references

Viscosity Solutions of Path-Dependent PDEs with Randomized Time

0 references

An Overview of Viscosity Solutions of Path-Dependent PDEs

0 references

Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

0 references

Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs

0 references

The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization

0 references

Q3743996

0 references

Optimal transportation under controlled stochastic dynamics

0 references

Optimal control

0 references

Tightness results for laws of diffusion processes application to stochastic mechanics

0 references

Identifiers

zbMATH Open document ID

1492.60183

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DOI

10.1137/21M1395557

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5081640

@@ Property / cites work @@
+History path dependent optimal control and portfolio valuation and management
+Normal rank
@@ Property / cites work @@
+Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
+Normal rank
@@ Property / cites work @@
+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Path-dependent Hamilton-Jacobi equations in infinite dimensions
+Normal rank
@@ Property / cites work @@
+Solutions to the Hamilton-Jacobi equation for Bolza problems with discontinuous time dependent data
+Normal rank
@@ Property / cites work @@
+Solutions to the Hamilton-Jacobi Equation for Bolza Problems with State Constraints and Discontinuous Time Dependent Data
+Normal rank
@@ Property / cites work @@
+The Hamilton Jacobi Equation For Optimal Control Problems with Discontinuous Time Dependence
+Normal rank
@@ Property / cites work @@
+Q4871542
@@ Property / cites work: Q4871542 / rank @@
+Normal rank
@@ Property / cites work @@
+The Minimum Time Function for Semilinear Evolutions
+Normal rank
@@ Property / cites work @@
+Q4743352
@@ Property / cites work: Q4743352 / rank @@
+Normal rank
@@ Property / cites work @@
+Path-dependent equations and viscosity solutions in infinite dimension
+Normal rank
@@ Property / cites work @@
+Strong-viscosity solutions: classical and path-dependent PDEs
+Normal rank
@@ Property / cites work @@
+Value functions for Bolza problems with discontinuous Lagrangians and Hamilton-Jacobi inequalities
+Normal rank
@@ Property / cites work @@
+Q3202747
@@ Property / cites work: Q3202747 / rank @@
+Normal rank
@@ Property / cites work @@
+Minimal supersolutions of convex BSDEs
@@ Property / cites work: Minimal supersolutions of convex BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Dual representation of minimal supersolutions of convex BSDEs
+Normal rank
@@ Property / cites work @@
+Stability and Markov property of forward backward minimal supersolutions
+Normal rank
@@ Property / cites work @@
+Functional Itô calculus
@@ Property / cites work: Functional Itô calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
+Normal rank
@@ Property / cites work @@
+On viscosity solutions of path dependent PDEs
@@ Property / cites work: On viscosity solutions of path dependent PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
+Normal rank
@@ Property / cites work @@
+Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
+Normal rank
@@ Property / cites work @@
+Optimal trajectories associated with a solution of the contingent Hamilton-Jacobi equation
+Normal rank
@@ Property / cites work @@
+Path-dependent Hamilton-Jacobi equations: the minimax solutions revised
+Normal rank
@@ Property / cites work @@
+A Probabilistic Approach to the Generalized Hessian
+Normal rank
@@ Property / cites work @@
+Generalized Solutions of the Hamilton–Jacobi Equation of Stochastic Control
+Normal rank
@@ Property / cites work @@
+On the Existence of Optimal Controls
@@ Property / cites work: On the Existence of Optimal Controls / rank @@
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of path-dependent integro-differential equations
+Normal rank
@@ Property / cites work @@
+Q4704238
@@ Property / cites work: Q4704238 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3997056
@@ Property / cites work: Q3997056 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4787095
@@ Property / cites work: Q4787095 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4811479
@@ Property / cites work: Q4811479 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation
+Normal rank
@@ Property / cites work @@
+The value function representing Hamilton–Jacobi equation with Hamiltonian depending on value of solution
+Normal rank
@@ Property / cites work @@
+Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
+Normal rank
@@ Property / cites work @@
+On representation formulas for Hamilton Jacobi's equations related to calculus of variations problems
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations
+Normal rank
@@ Property / cites work @@
+Perron’s method for viscosity solutions of semilinear path dependent PDEs
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Path-Dependent PDEs with Randomized Time
+Normal rank
@@ Property / cites work @@
+An Overview of Viscosity Solutions of Path-Dependent PDEs
+Normal rank
@@ Property / cites work @@
+Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
+Normal rank
@@ Property / cites work @@
+Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs
+Normal rank
@@ Property / cites work @@
+The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization
+Normal rank
@@ Property / cites work @@
+Q3743996
@@ Property / cites work: Q3743996 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal transportation under controlled stochastic dynamics
+Normal rank
@@ Property / cites work @@
+Optimal control
@@ Property / cites work: Optimal control / rank @@
+Normal rank
@@ Property / cites work @@
+Tightness results for laws of diffusion processes application to stochastic mechanics
+Normal rank
@@ Property / OpenAlex ID @@
+W3127071273
@@ Property / OpenAlex ID: W3127071273 / rank @@
+Normal rank