first riccati equation with matrix variable coefficients, arising in optimal and robust control approach, is considered. an analytical approximation of the solution of nonlinear differential riccati equation is investigated using the adomian decomposition method. an application in optimal control is presented. the solution in different order of approximations and different methods of approximat...

In this paper, we exhibit two methods to numerically solve the fractional integro differential equations and then proceed to compare the results of their applications on different problems. For this purpose, at first shifted Jacobi polynomials are introduced and then operational matrices of the shifted Jacobi polynomials are stated. Then these equations are solved by two methods: Caputo fractio...

This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. The optimal controls and value functions are characterized in terms of the viscosity solution of the associated Hamilton-JacobiBellman equation, which is shown to exist and is characterized. The optimal policy is then given f...

We propose a Hamilton-Jacobi equation approach for computing time-optimal trajectories of a vehicle which travels under certain curvature constraints. We derive a class of Hamilton-Jacobi equations which models such motions; it unifies two well-known vehicular models, the Dubins’ and Reeds-Shepp’s cars, and gives further generalizations. We show that the value function of the control problem so...

We consider the single-leg airline revenue management problem in continuous time with Poisson arrivals. Earlier work on this problem generally uses the Hamilton-Jacobi-Bellman equation to find an optimal policy whenever the value function is differentiable and is a solution to this equation. In this paper, we employ a different probabilistic approach, which do not rely on the smoothness of the ...

A canonical problem in real option pricing, as described in the classic text of Dixit and Pindyck [2], is to determine the optimal time to invest at a fixed cost, to receive in return a stochastic cashflow. In this paper we are interested in this problem in an incomplete market where the cashflow is not spanned by the traded assets. We follow the formulation in Miao and Wang [21]; our contribut...