On Hamilton-Jacobi-Bellman equations with convex gradient constraints

DOI10.4171/IFB/365zbMATH Open1386.90163arXiv1412.6202OpenAlexW2963846423MaRDI QIDQ345900FDOQ345900

Authors: Ryan Hynd, Henok Mawi 

Publication date: 2 December 2016

Published in: Interfaces and Free Boundaries (Search for Journal in Brave)

Abstract: We study PDE of the form $maxF(D^{2}u,x)-f(x),H(Du)=0$ where $F$ is uniformly elliptic and convex in its first argument, $H$ is convex, $f$ is a given function and $u$ is the unknown. These equations are derived from dynamic programming in a wide class of stochastic singular control problems. In particular, examples of these equations arise in mathematical finance models involving transaction costs, in queuing theory, and spacecraft control problems. The main aspects of this work are to identify conditions under which solutions are uniquely defined and have Lipschitz continuous gradients. We also generalize previous results known for the case where $MmapstoF(M,x)$ is the maximum of finitely many linear functions.

Full work available at URL: https://arxiv.org/abs/1412.6202

Recommendations

• Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• Non-convex Hamilton-Jacobi equations with gradient constraints
• Discontinuous solutions of Hamilton-Jacobi-Bellman equation under state constraints
• Hamilton-Jacobi-Bellman equations with fast gradient-dependence

zbMATH Keywords

free boundary problemfully nonlinearBernstein's method

Mathematics Subject Classification ID

Dynamic programming (90C39) Nonlinear boundary value problems for nonlinear elliptic equations (35J66) Free boundary problems for PDEs (35R35) Optimal stochastic control (93E20)

Cited In (17)

• Double obstacle problems and fully nonlinear PDE with non-strictly convex gradient constraints
• An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint
• Nonlocal equations with gradient constraints
• Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints
• Hamilton-Jacobi-Bellman equations for optimal control processes with convex state constraints
• Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations
• Well-posedness for a transmission problem connecting first and second-order operators
• Non-convex Hamilton-Jacobi equations with gradient constraints
• The Hamilton-Jacobi-Bellman equation with a gradient constraint
• Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• Extension of sufficient optimality conditions in the methods of Weierstrass and of Hamilton-Jacobi-Bellman
• Probabilistic max-plus schemes for solving Hamilton-Jacobi-Bellman equations
• HJB equations with gradient constraint associated with controlled jump-diffusion processes
• A two-dimensional control problem arising from dynamic contracting theory
• A mixed singular/switching control problem with terminal cost for modulated diffusion processes
• A relaxation scheme for Hamilton-Jacobi-Bellman equations

This page was built for publication: On Hamilton-Jacobi-Bellman equations with convex gradient constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q345900)