Optimal Control with State-Space Constraint. II
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Hamilton-Jacobi-Bellman (HJB) equationnon-local operatorpiecewise deterministic processessolutions of viscosity type
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) Diffusion processes (60J60) Optimal stochastic control (93E20)
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Cited in
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- On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
- Optimal feedback production planning in a stochastic two-machine flowshop
- Piecewise deterministic Markov process model for flexible manufacturing systems with preventive maintenance
- Ergodic problem for the Hamilton-Jacobi-Bellman equation. I: Existence of the ergodic attractor
- Ergodic problem for the Hamilton-Jacobi-Bellman equation. II
- Hedging in incomplete markets with HARA utility
- On the generalized Dirichlet problem for viscous Hamilton--Jacobi equations.
- Hamilton-Jacobi-Bellman equations for optimal control processes with convex state constraints
- Homogenization of a transmission problem with Hamilton-Jacobi equations and a two-scale interface. Effective transmission conditions
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Viscosity solutions of nonlinear integro-differential equations
- Optimality principles and representation formulas for viscosity solutions of Hamilton-Jacobi equations. II. Equations of control problems with state constraints
- Global optimization of arborescent multilevel inventory systems
- Uniqueness for integro-PDE in Hilbert spaces
- Regularity results for fully nonlinear integro-differential operators with nonsymmetric positive kernels: subcritical case
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Regularity for solutions of nonlocal, nonsymmetric equations
- Mean field games with state constraints: from mild to pointwise solutions of the PDE system
- Monotone systems involving variable-order nonlocal operators
- Vanishing discount problem and the additive eigenvalues on changing domains
- Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
- On dynamic programming principle for stochastic control under expectation constraints
- Mean field games and applications: numerical aspects
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
- Optimal dividend of compound Poisson process under a stochastic interest rate
- Optimal management of pumped hydroelectric production with state constrained optimal control
- Infinite horizon problems on stratifiable state-constraints sets
- Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Optimal singular dividend problem under the Sparre Andersen model
- Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
- Linear estimates for trajectories of state-constrained differential inclusions and normality conditions in optimal control
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- Perron's method for nonlocal fully nonlinear equations
- Linearization techniques for controlled piecewise deterministic Markov processes; application to Zubov's method
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- Flux-limited solutions and state constraints for quasi-convex Hamilton-Jacobi equations in multidimensional domains
- Discontinuous solutions of Hamilton-Jacobi equations on networks
- The Mayer and minimum time problems with stratified state constraints
- A discontinuous Galerkin scheme for front propagation with obstacles
- L^p-maximal regularity of nonlocal parabolic equations and applications
- Optimal stock liquidation in a regime switching model with finite time horizon
- Fractal first-order partial differential equations
- Multi-asset investment-consumption model with transaction costs
- On the basis of the Hamilton-Jacobi-Bellman equation in economic dynamics
- A game representation for a finite horizon state constrained continuous time linear regulator problem
- The minimum time function for the controlled Moreau's sweeping process
- Optimal switching in finite horizon under state constraints
- State-constrained stochastic optimal control problems via reachability approach
- Viability, invariance and reachability for controlled piecewise deterministic Markov processes associated to gene networks
- Existence and uniqueness for integro-differential equations with dominating drift terms
- On the credit risk of secured loans with maximum loan-to-value covenants
- Positive solutions to semilinear elliptic equations involving a weighted fractional Lapalacian
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Deterministic state-constrained optimal control problems without controllability assumptions
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- Optimal consumption until ruin for an endowment described by an autonomous ODE for an infinite time horizon
- Perturbed Dynamical Systems with an Attracting Singularity and Weak Viscosity Limits in Hamilton-Jacobi Equations
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Uniform asymptotics in the average continuous control of piecewise deterministic Markov processes: vanishing approach
- Hamilton-Jacobi equations constrained on networks
- Hölder estimates for trajectories of differential inclusions and HJB equations with state constraints
- A numerical method for fractal conservation laws
- State-constrained optimal control problems of impulsive differential equations
- Optimal Control with State-Space Constraint I
- Discontinuous solutions of deterministic optimal stopping time problems
- Regularity results for fully nonlinear parabolic integro-differential operators
- Fully nonlinear Neumann type boundary conditions for first-order Hamilton–Jacobi equations
- User’s guide to viscosity solutions of second order partial differential equations
- scientific article; zbMATH DE number 1254171 (Why is no real title available?)
- Uniqueness of viscosity solutions for monotone systems of fully nonlinear PDES under Dirichlet condition
- Optimal control of continuous-time Markov chains with noise-free observation
- scientific article; zbMATH DE number 4117318 (Why is no real title available?)
- Regularity for anisotropic fully nonlinear integro-differential equations
- Turnpike sets in stochastic manufacturing systems with finite time horizon
- Pareto front characterization for multiobjective optimal control problems using Hamilton-Jacobi approach
- Periodic homogenization for weakly elliptic Hamilton-Jacobi-Bellman equations with critical fractional diffusion
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Hamilton-Jacobi equations for optimal control on networks with entry or exit costs
- A deterministic game interpretation for fully nonlinear parabolic equations with dynamic boundary conditions
- Principal eigenvalues of fully nonlinear integro-differential elliptic equations with a drift term
- State-constraint static Hamilton-Jacobi equations in nested domains
- Abel-type results for controlled piecewise deterministic Markov processes
- A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks
- A long-term mathematical model for mining industries
- Border avoidance: necessary regularity for coefficients and viscosity approach
- HJB equations with gradient constraint associated with controlled jump-diffusion processes
- Coupling Lévy measures and comparison principles for viscosity solutions
- Hamilton-Jacobi equations for optimal control on junctions and networks
- Optimal consumption and investment with fixed and proportional transaction costs
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Error analysis for POD approximations of infinite horizon problems via the dynamic programming approach
- Solving a Hamilton-Jacobi-Bellman equation with constraints
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