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This article is the starting point of a series of works whose aim is the study of deterministic control problems where the dynamic and the running cost can be completely different in two (or more) complementary domains of the space ℝN. As a consequence, the dynamic and running cost present discontinuities at the boundary of these domains and this is the main difficulty of this type of problems. We address these questions by using a Bellman approach: our aim is to investigate how to define properly...
This paper analyses the implementation of the generalized finite differences method for the HJB equation of stochastic control, introduced by two of the authors in [Bonnans and Zidani, SIAM J. Numer. Anal. 41 (2003) 1008–1021]. The computation of coefficients needs to solve at each point of the grid (and for each control) a linear programming problem. We show here that, for two dimensional problems, this linear programming problem can be solved in operations, where is the size of the stencil....
This paper analyses the implementation of the generalized
finite differences method for the HJB equation of
stochastic control, introduced by two of the authors in
[Bonnans and Zidani,
SIAM J. Numer. Anal.41 (2003) 1008–1021]. The computation of coefficients needs to
solve at each point of the grid (and for each control)
a linear programming problem.
We show here that, for two dimensional problems, this
linear programming problem can be solved in O(pmax)
operations, where pmax is the size of...
We provide a deterministic-control-based interpretation for a broad class of fully nonlinear parabolic and elliptic PDEs with continuous Neumann boundary conditions in a smooth domain. We construct families of two-person games depending on a small parameter ε which extend those proposed by Kohn and Serfaty [21]. These new games treat a Neumann boundary condition by introducing some specific rules near the boundary. We show that the value function converges, in the viscosity sense, to the solution...
We prove that if f is a real valued lower semicontinuous function
on a Banach space X and if there exists a C^1, real valued Lipschitz continuous
function on X with bounded support and which is not identically equal to zero,
then f is Lipschitz continuous of constant K provided all lower subgradients of
f are bounded by K. As an application, we give a regularity result of viscosity
supersolutions (or subsolutions) of Hamilton-Jacobi equations in infinite dimensions
which satisfy a coercive condition....
We investigate the regularity of solutions of first order Hamilton-Jacobi equation with super linear growth in the gradient variable. We show that the solutions are locally Hölder continuous with Hölder exponent depending only on the growth of the hamiltonian. The proof relies on a reverse Hölder inequality.
We investigate the regularity of solutions of first order Hamilton-Jacobi equation with super linear growth in the gradient variable. We show that the solutions are locally Hölder continuous with Hölder exponent depending only on the growth of the Hamiltonian. The proof relies on a reverse Hölder inequality.
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. We show...
In this paper we propose a solution of the Lambertian shape-from-shading
(SFS) problem by designing
a new mathematical framework based on the
notion of viscosity solution. The power of our approach is twofolds:
(1) it defines a notion of weak solutions
(in the viscosity sense) which does not
necessarily require boundary data. Moreover, it allows to characterize the
viscosity solutions by their “minimums”; and (2) it unifies the works of [Rouy and Tourin, SIAM J. Numer. Anal.29 (1992) 867–884],...
The adjoint method, recently introduced by Evans, is used to study obstacle problems, weakly coupled systems, cell problems for weakly coupled systems of Hamilton − Jacobi equations, and weakly coupled systems of obstacle type. In particular, new results about the speed of convergence of some approximation procedures are derived.
We compare a general controlled diffusion process with a deterministic system
where a second controller drives the disturbance against the first
controller. We show that the two models are equivalent with
respect to two properties: the viability (or controlled
invariance, or weak invariance) of closed smooth sets, and the
existence of a smooth control Lyapunov function ensuring the
stabilizability of the system at an equilibrium.
We prove an existence and uniqueness result for a class of Hamilton-Jacobi equations in Hilbert spaces.
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