Optimal Control with State-Space Constraint. II
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Publication:3756057
non-local operatorHamilton-Jacobi-Bellman (HJB) equationpiecewise deterministic processessolutions of viscosity type
Diffusion processes (60J60) Nonlinear boundary value problems for linear elliptic equations (35J65) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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- Perturbed Dynamical Systems with an Attracting Singularity and Weak Viscosity Limits in Hamilton-Jacobi Equations
- A numerical method for fractal conservation laws
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Approximations for optimal stopping of a piecewise-deterministic process
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Principal eigenvalues of fully nonlinear integro-differential elliptic equations with a drift term
- Regularity results for fully nonlinear integro-differential operators with nonsymmetric positive kernels: subcritical case
- Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
- The minimum time function for the controlled Moreau's sweeping process
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Optimality principles and representation formulas for viscosity solutions of Hamilton-Jacobi equations. II. Equations of control problems with state constraints
- Homogenization of a transmission problem with Hamilton-Jacobi equations and a two-scale interface. Effective transmission conditions
- Optimal consumption and investment with fixed and proportional transaction costs
- Linear estimates for trajectories of state-constrained differential inclusions and normality conditions in optimal control
- A discontinuous Galerkin scheme for front propagation with obstacles
- State-constrained stochastic optimal control problems via reachability approach
- Deterministic state-constrained optimal control problems without controllability assumptions
- Ergodic problem for the Hamilton-Jacobi-Bellman equation. II
- Perron's method for nonlocal fully nonlinear equations
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Mean field games and applications: numerical aspects
- Uniqueness of viscosity solutions for a class of integro-differential equations
- Optimal consumption until ruin for an endowment described by an autonomous ODE for an infinite time horizon
- \(L^{\infty }\) estimates on trajectories confined to a closed subset
- Optimal switching in finite horizon under state constraints
- State-constrained optimal control problems of impulsive differential equations
- Optimal decision for selling an illiquid stock
- Switching control of piecewise-deterministic processes
- Error analysis for POD approximations of infinite horizon problems via the dynamic programming approach
- Infinite horizon problems on stratifiable state-constraints sets
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- Lipschitz regularity for censored subdiffusive integro-differential equations with superfractional gradient terms
- Optimal risk control and dividend policies under excess of loss reinsurance
- \(L^p\)-maximal regularity of nonlocal parabolic equations and applications
- Optimal Control with State-Space Constraint I
- Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks
- HJB equations and stochastic control on half-spaces of Hilbert spaces
- Hölder estimates for trajectories of differential inclusions and HJB equations with state constraints
- Viscosity solutions of nonlinear integro-differential equations
- On the choice of the function spaces for some state-constrained control problems
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- A viscosity solution method for Shape-From-Shading without image boundary data
- Pareto front characterization for multiobjective optimal control problems using Hamilton-Jacobi approach
- Fractal first-order partial differential equations
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations
- Dynamic mean-variance problem with constrained risk control for the insurers
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Uniqueness for integro-PDE in Hilbert spaces
- Linearization techniques for controlled piecewise deterministic Markov processes; application to Zubov's method
- A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks
- Hedging in incomplete markets with HARA utility
- A long-term mathematical model for mining industries
- Discontinuous solutions of deterministic optimal stopping time problems
- Fully nonlinear Neumann type boundary conditions for first-order Hamilton–Jacobi equations
- Algebraic invariance conditions in the study of approximate (null-)controllability of Markov switch processes
- Optimal stock liquidation in a regime switching model with finite time horizon
- Existence and uniqueness for integro-differential equations with dominating drift terms
- Discontinuous solutions of Hamilton-Jacobi equations on networks
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Abel-type results for controlled piecewise deterministic Markov processes
- Fundamental solutions and Liouville type theorems for nonlinear integral operators
- Regularity for solutions of nonlocal, nonsymmetric equations
- On the generalized Dirichlet problem for viscous Hamilton--Jacobi equations.
- Regularity results for fully nonlinear parabolic integro-differential operators
- Uniqueness of viscosity solutions for monotone systems of fully nonlinear PDES under Dirichlet condition
- Regularity for anisotropic fully nonlinear integro-differential equations
- Ergodic problem for the Hamilton-Jacobi-Bellman equation. I: Existence of the ergodic attractor
- Trajectories of differential inclusions with state constraints
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Hamilton-Jacobi equations for optimal control on junctions and networks
- Hamilton-Jacobi equations constrained on networks
- User’s guide to viscosity solutions of second order partial differential equations
- Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
- Discontinuous eikonal equations in metric measure spaces
- A direct discontinuous Galerkin method for a high order nonlocal conservation law
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- Laplacian regularized eikonal equation with Soner boundary condition on polyhedral meshes
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
- Optimal singular dividend problem under the Sparre Andersen model
- Uniform asymptotics in the average continuous control of piecewise deterministic Markov processes: vanishing approach
- Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
- State Constraints, Higher Order Inward Pointing Conditions, and Neighboring Feasible Trajectories
- Hamilton-Jacobi equations for optimal control on networks with entry or exit costs
- Multi-asset investment-consumption model with transaction costs
- Optimal dividend of compound Poisson process under a stochastic interest rate
- Turnpike sets in stochastic manufacturing systems with finite time horizon
- Hamilton-Jacobi-Bellman equations for optimal control processes with convex state constraints
- Optimal feedback production planning in a stochastic two-machine flowshop
- scientific article; zbMATH DE number 4117318 (Why is no real title available?)
- Solving a Hamilton-Jacobi-Bellman equation with constraints
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Optimal risk control under marked point processes shocks: a dynamic programming duality approach
- State-constraint static Hamilton-Jacobi equations in nested domains
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