Viscosity solutions to Hamilton–Jacobi–Bellman equations associated with sublinear Lévy(-type) processes

Latin American Journal of Probability and Mathematical Statistics ◽

10.30757/alea.v16-20 ◽

2019 ◽

Vol 16 (1) ◽

pp. 531

Author(s):

Franziska Kühn

Keyword(s):

Viscosity Solutions ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations

Nonlinear Analysis ◽

10.1016/j.na.2008.02.080 ◽

2009 ◽

Vol 70 (4) ◽

pp. 1776-1796 ◽

Author(s):

Juan Li ◽

Shige Peng

Keyword(s):

Differential Equations ◽

Stochastic Optimization ◽

Stochastic Differential Equations ◽

Viscosity Solutions ◽

Optimization Theory ◽

Backward Stochastic Differential Equations ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations

SIAM Journal on Control and Optimization ◽

10.1137/100816778 ◽

2014 ◽

Vol 52 (3) ◽

pp. 1622-1662 ◽

Author(s):

Juan Li ◽

Qingmeng Wei

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Optimal Control Problems ◽

Control Problems ◽

Bellman Equations ◽

Hamilton Jacobi Bellman ◽

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Minimax and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations for Time-Delay Systems

Journal of Optimization Theory and Applications ◽

10.1007/s10957-020-01742-6 ◽

2020 ◽

Vol 187 (1) ◽

pp. 22-42

Author(s):

Anton Plaksin

Keyword(s):

Viscosity Solutions ◽

Delay Systems ◽

Time Delay Systems ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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Application of viscosity solutions of infinite-dimensional Hamilton-Jacobi-Bellman equations to some problems in distributed optimal control

Journal of Optimization Theory and Applications ◽

10.1007/bf00939448 ◽

1990 ◽

Vol 64 (2) ◽

pp. 245-268 ◽

Author(s):

E. N. Barron

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Distributed Optimal Control ◽

Bellman Equations ◽

Infinite Dimensional ◽

Hamilton Jacobi Bellman

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Uniqueness for Viscosity Solutions of Nonstationary Hamilton–Jacobi–Bellman Equations under Some a Priori Conditions (with Applications)

SIAM Journal on Control and Optimization ◽

10.1137/s0363012994262695 ◽

1995 ◽

Vol 33 (5) ◽

pp. 1560-1576 ◽

Author(s):

William M. McEneaney

Keyword(s):

Viscosity Solutions ◽

A Priori ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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A Narrow-stencil Finite Difference Method for Approximating Viscosity Solutions of Hamilton--Jacobi--Bellman Equations

SIAM Journal on Numerical Analysis ◽

10.1137/19m1296483 ◽

2021 ◽

Vol 59 (2) ◽

pp. 886-924

Author(s):

Xiaobing Feng ◽

Thomas Lewis

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Viscosity Solutions ◽

Difference Method ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

10.1007/978-0-8176-4755-1 ◽

1997 ◽

Author(s):

Martino Bardi ◽

Italo Capuzzo-Dolcetta

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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The optimal control related to Riemannian manifolds and the viscosity solutions to Hamilton–Jacobi–Bellman equations

Systems & Control Letters ◽

10.1016/j.sysconle.2014.03.011 ◽

2014 ◽

Vol 69 ◽

pp. 7-15 ◽

Author(s):

Xuehong Zhu

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Riemannian Manifolds ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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An upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations

IMA Journal of Mathematical Control and Information ◽

10.1093/imamci/17.2.167 ◽

2000 ◽

Vol 17 (2) ◽

pp. 167-178 ◽

Author(s):

S. Wang ◽

F. Gao ◽

K. L. Teo

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Viscosity Solutions ◽

Difference Method ◽

Bellman Equations ◽

Hamilton Jacobi Bellman ◽

Upwind Finite Difference

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Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations

SIAM Journal on Control and Optimization ◽

10.1137/17m1148232 ◽

2018 ◽

Vol 56 (5) ◽

pp. 3708-3730 ◽

Author(s):

Jinniao Qiu

Keyword(s):

Viscosity Solutions ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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