Questions of reachability for continuous and hybrid systems can be formulated as optimal control or game theory problems, whose solution can be characterized using variants of the Hamilton-Jacobi-Bellman or Isaacs partial differential equations. The formal link between the solution to the partial differential equation and the reachability problem is usually established in the framework of visco...

We propose and analyse a method based on the Riccati transformation for solving the evolutionary Hamilton–Jacobi–Bellman equation arising from the dynamic stochastic optimal allocation problem. We show how the fully nonlinear Hamilton–Jacobi– Bellman equation can be transformed into a quasilinear parabolic equation whose diffusion function is obtained as the value function of a certain parametr...

We discuss a general procedure for arriving at the Hamilton-Jacobi equation of second-class constrained systems, and illustrate it in terms of a number of examples by explicitely obtaining the respective Hamilton principal function, and verifying that it leads to the correct solution to the Euler-Lagrange equations. email: [email protected] email: [email protected]

Quantum canonical transformations have attracted interest since the beginning of quantum theory. Based on their classical analogues, one would expect them to provide a powerful quantum tool. However, the difficulty of solving a nonlinear operator partial differential equation such as the quantum Hamilton-Jacobi equation (QHJE) has hindered progress along this otherwise promising avenue. We over...

We study a non-local parabolic Lotka-Volterra type equation describing a population structured by a space variable x ∈ R and a phenotypical trait θ ∈ Θ. Considering diffusion, mutations and space-local competition between the individuals, we analyze the asymptotic (long– time/long–range in the x variable) exponential behavior of the solutions. Using some kind of real phase WKB ansatz, we prove ...

The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes. Optimal behavior in such a setup (e.g., optimal consumption) is usually determined by employing the Hamilton-Jacobi-Bellman equation. This, however, requires strong assumptions on the model, such as a bounded utility function and b...

Large deviation for Markov processes can be studied by Hamilton– Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to generators of the Markov processes, and verify that limit of the transformed generators exists. Such limit induces a Hamilton–Jacobi equation. Second, we show that a strong form of uniqueness (the comparison principle) ho...

A novel approach to solving the optimal nonlin-ear control problem is presented. Instead of seeking a global approximation to the Hamilton-Jacobi-Bellman equation, a local approximation is obtained by successively solving the Generalized Hamilton-Jacobi-Bellman (GHJB) equation on a local region of the state space. The optimal control is generated by solving the GHJB equation algebraically at se...

Large deviation for Markov processes can be studied by Hamilton– Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to generators of the Markov processes, and verify that limit of the transformed generators exists. Such limit induces a Hamilton–Jacobi equation. Second, we show that a strong form of uniqueness (the comparison principle) ho...

This paper deals with the problem of robust H∞ control for a class of uncertain switched nonlinear systems via the multiple Lyapunov functions approach. Based on the explicit construction of Lyapunov functions, which avoids solving the Hamilton-Jacobi-Isaacs (HJI) inequalities, a condition for the solvability of the robust H∞ control problem and design of both switching laws and controllers is ...