5 papers
Risk-sensitive exit-time control for stochastic differential equations with path-dependent coefficients
David Criens, Fabian Fuchs
In this work, we study small-noise asymptotics of risk-sensitive exit-time control problems governed by stochastic differential equations with path-dependent coefficients. Our main…
Projected Evolutionary Lifting and Well-Posedness of Stationary Hamilton-Jacobi-Bellman Equations in Infinite Dimensions
Gabriele Bolli, Fabian Fuchs
This paper establishes the existence and uniqueness of mild solutions to stationary Hamilton-Jacobi-Bellman (HJB) equations associated with infinite-horizon stochastic optimal cont…
A Strict Comparison Principle for Integro-Differential Hamilton-Jacobi-Bellman Equations on Domains with Boundary
Serena Della Corte, Fabian Fuchs, Richard C. Kraaij +1
This work provides a comparison principle for viscosity solutions to boundary value problems on (partially) bounded, cylindrical spaces. The comparison principle is based on a test…
Existence of Viscosity Solutions to Abstract Cauchy Problems via Nonlinear Semigroups
Fabian Fuchs, Max Nendel
In this work, we provide conditions for nonlinear monotone semigroups on locally convex vector lattices to give rise to a generalized notion of viscosity solutions to a related non…
A comparison principle based on couplings of partial integro-differential operators
Serena Della Corte, Fabian Fuchs, Richard C. Kraaij +1
This paper is concerned with a comparison principle for viscosity solutions to Hamilton-Jacobi (HJ), -Bellman (HJB), and -Isaacs (HJI) equations for general classes of partial inte…