Mean viability theorems and second-order Hamilton-Jacobi equations
From MaRDI portal
Publication:6555692
contingent solutionspath-dependent partial differential equationsstochastic controlviabilityviscosity solutions
Viscosity solutions to PDEs (35D40) PDEs with randomness, stochastic partial differential equations (35R60) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Recommendations
- Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space
- Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
- scientific article; zbMATH DE number 14966
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
Cites work
- A geometric characterization of viable sets for controlled degenerate diffusions
- A Probabilistic Approach to the Generalized Hessian
- A pseudo-Markov property for controlled diffusion processes
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs
- Comparison of viscosity solutions of semilinear path-dependent PDEs
- Constructing sublinear expectations on path space
- Controlled measure-valued martingales: a viscosity solution approach
- Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
- Differential Games, Optimal Control and Directional Derivatives of Viscosity Solutions of Bellman’s and Isaacs’ Equations
- Dynamic programming for stochastic target problems and geometric flows
- Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations
- Existence of stochastic control under state constraints
- Generalized Solutions of the Hamilton–Jacobi Equation of Stochastic Control
- History path dependent optimal control and portfolio valuation and management
- scientific article; zbMATH DE number 3978880 (Why is no real title available?)
- scientific article; zbMATH DE number 3778409 (Why is no real title available?)
- scientific article; zbMATH DE number 8367 (Why is no real title available?)
- scientific article; zbMATH DE number 1254167 (Why is no real title available?)
- scientific article; zbMATH DE number 2247509 (Why is no real title available?)
- Infinite dimensional analysis. A hitchhiker's guide.
- Lower Semicontinuous Solutions of Hamilton–Jacobi–Bellman Equations
- McKean-Vlasov optimal control: the dynamic programming principle
- Mean Value Inequalities in Hilbert Space
- Multidimensional diffusion processes.
- Necessary and sufficient conditions for viability for semilinear differential inclusions
- On the Existence of Optimal Controls
- On viscosity solutions of path dependent PDEs
- Optimal control
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
- Optimal trajectories associated with a solution of the contingent Hamilton-Jacobi equation
- Path-dependent equations and viscosity solutions in infinite dimension
- Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
- Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
- Solutions to Hamilton-Jacobi equation on a Wasserstein space
- Some Characterizations of Optimal Trajectories in Control Theory
- Stochastic Optimal Control in Infinite Dimension
- Stochastic optimal control. The discrete time case
- Stochastic target problems with controlled loss
- Superreplication under volatility uncertainty for measurable claims
- The Hamilton Jacobi equation for optimal control problems with discontinuous time dependence
- The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization
- The minimum time function for semilinear evolutions
- User’s guide to viscosity solutions of second order partial differential equations
- Viability of an open set for stochastic control systems
- Viability of stochastic semi-linear control systems via the quasi-tangency condition
- Viability Theory
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Viscosity solutions of path-dependent PDEs with randomized time
- Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
Cited in
(2)
This page was built for publication: Mean viability theorems and second-order Hamilton-Jacobi equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6555692)
