Displaying similar documents to “The Tree-Grid Method with Control-Independent Stencil”

A general Hamilton-Jacobi framework for non-linear state-constrained control problems

Albert Altarovici, Olivier Bokanowski, Hasnaa Zidani (2013)

ESAIM: Control, Optimisation and Calculus of Variations

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The paper deals with deterministic optimal control problems with state constraints and non-linear dynamics. It is known for such problems that the value function is in general discontinuous and its characterization by means of a Hamilton-Jacobi equation requires some controllability assumptions involving the dynamics and the set of state constraints. Here, we first adopt the viability point of view and look at the value function as its epigraph. Then, we prove that this epigraph can...

A pension fund in the accumulation phase: a stochastic control approach

Salvatore Federico (2008)

Banach Center Publications

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In this paper we propose and study a continuous time stochastic model of optimal allocation for a defined contribution pension fund in the accumulation phase. The level of wealth is constrained to stay above a "solvency level". The fund manager can invest in a riskless asset and in a risky asset, but borrowing and short selling are prohibited. The model is naturally formulated as an optimal stochastic control problem with state constraints and is treated by the dynamic programming approach....

Deterministic state-constrained optimal control problems without controllability assumptions

Olivier Bokanowski, Nicolas Forcadel, Hasnaa Zidani (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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In the present paper, we consider nonlinear optimal control problems with constraints on the state of the system. We are interested in the characterization of the value function without any controllability assumption. In the unconstrained case, it is possible to derive a characterization of the value function by means of a Hamilton-Jacobi-Bellman (HJB) equation. This equation expresses the behavior of the value function along the trajectories arriving or starting from any position...

Differentiability of the Feynman-Kac semigroup and a control application

Giuseppe Da Prato, Jerzy Zabczyk (1997)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

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The Hamilton-Jacobi-Bellman equation corresponding to a large class of distributed control problems is reduced to a linear parabolic equation having a regular solution. A formula for the first derivative is obtained.