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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是11-20 订阅
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dynamic programming principle and Hamilton-Jacobi-Bellman Equation under nonlinear expectation
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2022年 第0期28卷 25-25页
作者: Hu, Mingshang Ji, Shaolin Li, Xiaojuan Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China
In this paper, we study a stochastic recursive optimal control problem in which the value functional is defined by the solution of a backward stochastic differential equation (BSDE) under G-expectation. Under standard... 详细信息
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On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains
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STOCHASTIC PROCESSES AND THEIR APPLICATIONS 2013年 第8期123卷 3273-3298页
作者: Krylov, N. V. Univ Minnesota Minneapolis MN 55455 USA
We prove the dynamic programming principle for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zer... 详细信息
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Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
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OPTIMAL CONTROL APPLICATIONS & METHODS 2014年 第1期35卷 61-76页
作者: Shi, Jingtao Shandong Univ Sch Math Jinan 250100 Peoples R China
This paper is concerned with the relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions. Under the assumption that the value funct... 详细信息
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Generalized dynamic programming principle and sparse mean-field control problems
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JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 2020年 第1期481卷 123437-123437页
作者: Cavagnari, Giulia Marigonda, Antonio Piccoli, Benedetto Univ Pavia Dept Math F Casorati Via Ferrate 5 I-27100 Pavia Italy Univ Verona Dept Comp Sci Str Le Grazie 15 I-37134 Verona Italy Rutgers Univ Camden Dept Math Sci 311 N 5th St Camden NJ 08102 USA
In this paper we study optimal control problems in Wasserstein spaces, which are suitable to describe macroscopic dynamics of multi-particle systems. The dynamics is described by a parametrized continuity equation, in... 详细信息
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On dynamic programming principle for Stochastic Control Under Expectation Constraints
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JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 2020年 第3期185卷 803-818页
作者: Chow, Yuk-Loong Yu, Xiang Zhou, Chao Sun Yat Sen Univ Sch Math Guangzhou Peoples R China Hong Kong Polytech Univ Dept Appl Math Hung Hom Kowloon Hong Kong Peoples R China Natl Univ Singapore Dept Math Singapore Singapore
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraint... 详细信息
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On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
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PROBABILITY THEORY AND RELATED FIELDS 2014年 第3-4期158卷 751-783页
作者: Krylov, N. V. Univ Minnesota Minneapolis MN 55455 USA
We prove the dynamic programming principle for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. In cont... 详细信息
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Feedback control of parametrized PDEs via model order reduction and dynamic programming principle
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ADVANCES IN COMPUTATIONAL MATHEMATICS 2020年 第1期46卷 1-28页
作者: Alla, Alessandro Haasdonk, Bernard Schmidt, Andreas Pontificia Univ Catolica Rio de Janeiro Dept Math Rua Marques de Sao Vicente 225 BR-22453900 Rio de Janeiro Brazil Univ Stuttgart Inst Appl Anal & Numer Simulat Pfaffenwaldring 57 D-70569 Stuttgart Germany
In this paper, we investigate infinite horizon optimal control problems for parametrized partial differential equations. We are interested in feedback control via dynamic programming equations which is well-known to s... 详细信息
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dynamic programming principle for Classical and Singular Stochastic Control with Discretionary Stopping
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APPLIED MATHEMATICS AND OPTIMIZATION 2023年 第1期88卷 7-7页
作者: De Angelis, Tiziano Milazzo, Alessandro Univ Torino Sch Management & Econ Dept ESOMAS Cso Unione Sovietica 218bis I-10134 Turin Italy Coll Carlo Alberto Pza Arbarello 8 I-10122 Turin Italy Uppsala Univ Dept Math Box 480 S-75106 Uppsala Sweden
We prove the dynamic programming principle (DPP) in a class of problems where an agent controls a d-dimensional diffusive dynamics via both classical and singular controls and, moreover, is able to terminate the optim... 详细信息
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RANDOMIZED dynamic programming principle AND FEYNMAN-KAC REPRESENTATION FOR OPTIMAL CONTROL OF MCKEAN-VLASOV dynamicS
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TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY 2018年 第3期370卷 2115-2160页
作者: Bayraktar, Erhan Cosso, Andrea Pham, Huyen Univ Michigan Dept Math 530 Church St Ann Arbor MI 48109 USA Politecn Milan Dipartimento Matemat Via Bonardi 9 I-20133 Milan Italy Univ Bologna Dipartimento Matemat Piazza Porta S Donato 5 I-40126 Bologna Italy Univ Paris Diderot Lab Probabilites & Modeles Aleatoires CNRS UMR 7599 F-75205 Paris 13 France Univ Paris Diderot Lab Probabilites & Modeles Aleatoires CNRS UMR 7599 Crest France
We analyze a stochastic optimal control problem, where the state process follows a McKean-Vlasov dynamics and the diffusion coefficient can be degenerate. We prove that its value function V admits a nonlinear FeynmanK... 详细信息
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MCKEAN-VLASOV OPTIMAL CONTROL: THE dynamic programming principle
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ANNALS OF PROBABILITY 2022年 第2期50卷 791-833页
作者: Djete, Mao Fabrice Possamai, Dylan Tan, Xiaolu Ecole Polytech Paris France Swiss Fed Inst Technol Dept Math Zurich Switzerland Chinese Univ Hong Kong Dept Math Hong Kong Peoples R China
We study the McKean-Vlasov optimal control problem with common noise which allow the law of the control process to appear in the state dynamics under various formulations: strong and weak ones, Markovian or non-Markov... 详细信息
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