On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems

DOI10.1134/S0081543807060132MaRDI QIDQ764715zbMATH OpenOpenAlexFDO

Authors N. Yu. Lukoyanov

Publication date 14 March 2012

Published in Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0081543807060132

zbMATH Keywords

functional Hamilton-Jacobi type equations with co-invariant derivatives and a nonanticipatory Hamiltonianhereditary systemsminimax approachviscosity approach

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites work

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• History path dependent optimal control and portfolio valuation and management
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• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. IV: Hamiltonians with unbounded linear terms

Cited in

(29)

• Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations
• Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space
• Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions
• Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations
• Path-dependent Hamilton-Jacobi equations: the minimax solutions revised
• A martingale approach for fractional Brownian motions and related path dependent PDEs
• On viscosity solutions of path dependent PDEs
• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
• Viscosity solutions of Hamilton-Jacobi equations for neutral-type systems
• On generalizations of the Hamilton-Jacobi equation for hereditary systems
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
• scientific article; zbMATH DE number 2075140 (Why is no real title available?)
• Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs
• Minimax solutions of Hamilton-Jacobi equations with fractional coinvariant derivatives
• On stable functionals in control problems of hereditary dynamic systems
• Comparison of viscosity solutions of semilinear path-dependent PDEs
• Equations of Hamilton-Jacobi type in hereditary systems: minimax solutions
• Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations
• Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
• Survey on path-dependent PDEs
• Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations
• Minimax and viscosity solutions in optimization problems for hereditary systems
• On viscosity solutions of path-dependent Hamilton-Jacobi-Bellman-Isaacs equations for fractional-order systems
• Minimax solutions of Hamilton-Jacobi equations in dynamic optimization problems for hereditary systems
• Control problems for fractional-order systems: formalism of Hamilton-Jacobi equations and methods for constructing optimal feedback strategies
• Zero-sum games for Volterra integral equations and viscosity solutions of path-dependent Hamilton-Jacobi equations
• The Hamilton-Jacobi equation for hereditary systems: minimax and viscosity solutions

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