نتایج جستجو برای: hamilton jacobi belman equation

تعداد نتایج: 246225  

2003
Héctor J. Sussmann

We present some new results, together with a number of particularly simple and userfriendly versions of results obtained in recent years by the author and M. Malisoff, on the uniqueness of solutions of the Hamilton-Jacobi-Bellman equation (HJBE) for deterministic finite-dimensional optimal control problems under non-standard hypotheses. Our approach is completely controltheoretic and totally se...

2017
Marcel Nutz José A. Scheinkman

We propose a continuous-time model of trading among risk-neutral agents with heterogeneous beliefs. Agents face quadratic costs-of-carry on their positions and as a consequence, their marginal valuation of the asset decreases when the magnitude of their position increases, as it would be the case for risk-averse agents. In the equilibrium models of investors with heterogeneous beliefs that foll...

2016
Jose-Luis Menaldi Maurice Robin

We discuss ergodicity properties of a controlled jumps diffusion process reflected from the boundary of a bounded domain. The control parameters act on the drift term and on a first order type jump density. The controlled process is generated via a Girsanov change of probability, and a long run average criterion is to be optimized. By means of the Hamilton-Jacobi-Bellman equation, an optimal st...

Journal: :SIAM J. Control and Optimization 2017
Huyên Pham Xiaoli Wei

We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field interaction under common noise. Our first main result is to state a dynamic programming principle for the value function in the Wasserstein space of probability measu...

2011
Hamidou Tembine Quanyan Zhu Tamer Başar

In this paper, we study a class of risk-sensitive mean-field stochastic differential games. Under regularity assumptions, we use results from standard risk-sensitive differential game theory to show that the mean-field value of the exponentiated cost functional coincides with the value function of a Hamilton-Jacobi-Bellman-Fleming (HJBF) equation with an additional quadratic term. We provide an...

Journal: :SIAM J. Control and Optimization 2013
Erhan Bayraktar Yu-Jui Huang

We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the volatility terms of the state process. Under appropriate conditions, we show that the game has a value and the value function is the unique viscosity solution t...

2007
Daniil V. Yurchenko

The paper discusses a problem of stochastic optimal control of a linear singledegree-of-freedom system subjected to external sinusoidal and white noise excitations. An external, bounded in magnitude control force is introduced into the system to reduce mean system response energy. The dynamic programming approach is used to derive the corresponding Hamilton-Jacobi-Bellman equation. Hybrid solut...

1995
S. P. SETHI W. SUO M. I. TAKSAR Q. ZHANG

1 Abstract. This paper is concerned with the optimal production planning in a dynamic stochastic manufacturing system consisting of a single or parallel machine that are failure prone and facing a constant demand. The objective is to choose the rate of production over time in order to minimize the long-run average cost of production and surplus. The analysis proceeds with a study of the corresp...

2006
G. Fabbri

The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable viscosity solution approach is needed in view of the presence of the unbounded control-related term in the Hilbertian state equation. An existence-and-uniqueness result is obtained.

2015
M. OHASHI

Abstract-we study the ergodic control problem related to stochastic production planning in a single product manufacturing system with production constraints. The existence of a solution to the corresponding Hamilton-Jacobi-Bellman equation and its properties are shown. Furthermore, the optimal control for the ergodic control problem and an example are given.@ 2000 Elsevier Science Ltd. All righ...

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