hamilton-jacobi-bellman equation 1infinite horizon 1partial differential equations 1sign-changing discount factor 1stochastic optimal control 1
From the 1 of 2 linked papers with an AI index.
2 papers
math.OC2026
Infinite horizon stochastic optimal control with sign-changing discount factor
Charles Bertucci, Jean-Michel Lasry, Pierre-Louis Lions
The paper analyzes an infinite‑horizon stochastic optimal control problem where the discount factor can be positive or negative depending on the state, using the associated Hamilto…
math.AP2025
The equilibrium price of bubble assets
Charles Bertucci, Jean-Michel Lasry, Pierre Louis Lions
Considering a simple economy, we derive a new Hamilton-Jacobi equation which is satisfied by the value of a ''bubble'' asset. We then show, by providing a rigorous mathematical ana…